Portfolio management in the binomial model: conditions for outperforming benchmarks

DOI10.1007/s00291-002-0110-6zbMath1021.91020OpenAlexW2073415817MaRDI QIDQ1871761

Thomas Balzer

Publication date: 4 May 2003

Published in: OR Spectrum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00291-002-0110-6

zbMATH Keywords

relative entropyloss functionportfolio optimizationrisk aversionoutperforming benchmarks

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Communication, information (94A99) Portfolio theory (91G10)

Related Items (1)

Unnamed Item

This page was built for publication: Portfolio management in the binomial model: conditions for outperforming benchmarks