The optimal portfolio problem with coherent risk measure constraints.

DOI10.1016/S0377-2217(02)00785-3zbMath1033.90060OpenAlexW2140683749MaRDI QIDQ1406490

Stefano Benati

Publication date: 4 September 2003

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-2217(02)00785-3

zbMATH Keywords

Portfolio optimizationRisk measuresComputational finance

Mathematics Subject Classification ID

Related Items (19)

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