Value of information in portfolio selection, with a Taiwan stock market application illustration

DOI10.1016/j.ejor.2016.02.011zbMath1346.91210OpenAlexW2258972077MaRDI QIDQ323188

Chiang Kao, Ralph E. Steuer

Publication date: 7 October 2016

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2016.02.011

zbMATH Keywords

value of informationportfolio selectionefficient pointsparametric quadratic programmingpiecewise linear paths

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Quadratic programming (90C20) Sensitivity, stability, parametric optimization (90C31) Portfolio theory (91G10)

Related Items (1)

Probabilistic sensitivity measures as information value

Cites Work

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