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PORTFOLIO OPTIMIZATION UNDER PARAMETER UNCERTAINTY USING THE RISK AVERSION FORMULA - MaRDI portal

PORTFOLIO OPTIMIZATION UNDER PARAMETER UNCERTAINTY USING THE RISK AVERSION FORMULA

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Publication:4630983

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DOI10.1501/COMMUA1_0000000861zbMath1411.91514MaRDI QIDQ4630983

Aysen Apaydin, Gultac Eroglu Inan, Sibel Acik Kemaloglu

Publication date: 23 April 2019

Published in: Communications Faculty Of Science University of Ankara Series A1Mathematics and Statistics (Search for Journal in Brave)

zbMATH Keywords

robust mean-variance optimization risk aversion formulation

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Portfolio theory (91G10)

Related Items (1)

Decision making for portfolio selection by fuzzy multi criteria linear programming

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