Study on the interrelation of efficient portfolios and their frontier under \(t\) distribution and various risk measures

DOI10.1007/s11766-006-0001-8zbMath1204.91124OpenAlexW2061541636MaRDI QIDQ621864

Zhiping Chen, Yi Wang, Ke-Cun Zhang

Publication date: 29 January 2011

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-006-0001-8

zbMATH Keywords

portfolio optimizationexpected shortfallefficient frontiervalue at riskmean-risk model

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

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