A theory of portfolio revision: robustness and truncation problems

DOI10.1080/00207728408926601zbMath0547.90005OpenAlexW2018445754MaRDI QIDQ3339611

Jati K. Sengupta

Publication date: 1984

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207728408926601

zbMATH Keywords

robustnessoptimal portfoliorisk attitudesinvestment behavior

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

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• A survey of frontier production functions and of their relationship to efficiency measurement
• Diversification Theorems for Subsets of Risk Averters
• The effect of constraints on the response variable in regression
• Regression Analysis when the Dependent Variable Is Truncated Normal
• Portfolio Analysis in a Stable Paretian Market
• Risk Aversion in the Small and in the Large
• THE FITTING OF GROUPED TRUNCATED AND GROUPED CENSORED NORMAL DISTRIBUTIONS
• NON-NORMALITY AND TESTS ON VARIANCES

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