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zbMath1127.91026MaRDI QIDQ3371139

Hailiang Yang, Ken Seng Tan, Kai Wang Ng, Zhong-Fei Li

Publication date: 21 February 2006

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Black-Scholes model earnings-at-risk constant-rebalanced portfolios

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Management decision making, including multiple objectives (90B50) Numerical methods based on nonlinear programming (49M37) Economic growth models (91B62) Portfolio theory (91G10)

Related Items (1)

On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability

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