Single-period Markowitz portfolio selection, performance gauging, and duality: a variation on the Luenberger shortage function
type: Item
instance of: scholarly article
title: Single-period Markowitz portfolio selection, performance gauging, and duality: a variation on the Luenberger shortage function
zbMATH Open document ID: 1064.91042
author: Walter Briec
author: Jean-Baptiste Lesourd
author: Kristiaan Kerstens
published in: Journal of Optimization Theory and Applications
publication date: 2004-06-11T00:00:00Z
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 2073483
zbMATH Keywords: Shortage function
zbMATH Keywords: efficient frontier
zbMATH Keywords: risk aversion
zbMATH Keywords: mean-variance portfolios
MaRDI profile type: Publication
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DOI: 10.1023/B:JOTA.0000012730.36740.BB
description: scientific article; zbMATH DE number 2073483