The optimal portfolio problem with coherent risk measure constraints.
type: Item
instance of: scholarly article
title: The optimal portfolio problem with coherent risk measure constraints.
zbMATH Open document ID: 1033.90060
DOI: 10.1016/S0377-2217(02)00785-3
author: Stefano Benati
published in: European Journal of Operational Research
publication date: 2003-09-04T00:00:00Z
Mathematics Subject Classification ID: 90B60
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 1974934
zbMATH Keywords: Portfolio optimization
zbMATH Keywords: Risk measures
zbMATH Keywords: Computational finance
MaRDI profile type: Publication
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full work available at URL: s0377-2217(02)00785-3
OpenAlex ID: W2140683749
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description: scientific article; zbMATH DE number 1974934