Sensitivity analysis of portfolio properties with budget constraints

DOI10.1504/IJMOR.2011.040028zbMath1215.91080OpenAlexW2035667986MaRDI QIDQ548468

Marco Percoco, Emanuele Borgonovo

Publication date: 28 June 2011

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

Full work available at URL: https://doi.org/10.1504/ijmor.2011.040028

zbMATH Keywords

sensitivity analysisvarianceportfolio managementvalue at riskportfolio returnsbudget constraintsGARCH volatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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