The analysis of risky portfolios by geometric programming

DOI10.1007/BF01919485zbMath0416.90038OpenAlexW2031680386MaRDI QIDQ3206650

T. R. Jefferson, John M. Cozzolino, Carlton H. Scott

Publication date: 1979

Published in: Zeitschrift für Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01919485

zbMATH Keywords

geometric programmingportfolio theoryexponential utility functionapplication of mathematical programmingrisky business ventures

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Operations research and management science (90B99) Mathematical programming (90C99)

Related Items (1)

On duality for entropy constrained programs

Cites Work

• A generalisation of geometric programming with an application to information theory
• Duality in infinite-dimensional mathematical programming: Convex integral functionals
• Geometric Programming
• Risk Aversion in the Small and in the Large
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