scientific article; zbMATH DE number 7351439

zbMath1474.91180arXiv1912.09573MaRDI QIDQ4989840

Alev Meral

Publication date: 26 May 2021

Full work available at URL: https://arxiv.org/abs/1912.09573

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

zbMATH Keywords

expected lossBlack-Scholes modelportfolio optimizationvalue at riskmartingale methodrisk constraintsexpected utility loss

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Optimal stochastic control (93E20) Portfolio theory (91G10)

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