Problem of selecting an optimal portfolio with a probabilistic risk function

DOI10.1007/S10958-016-2921-ZzbMath1415.91261OpenAlexW2441092940MaRDI QIDQ308568

V. A. Gorelik, T. V. Zolotova

Publication date: 6 September 2016

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-016-2921-z

zbMATH Keywords

optimal portfolioprobabilistic risk function

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Quantitative methods for portfolio analysis. MTV model approach
• The Mathematics of Financial Derivatives
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