Large deviations theorems for optimal investment problems with large portfolios
type: Item
instance of: scholarly article
title: Large deviations theorems for optimal investment problems with large portfolios
zbMATH Open document ID: 1237.91203
published in: European Journal of Operational Research
publication date: 2012-05-14T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 60G70
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6034960
zbMATH Keywords: optimal portfolio
zbMATH Keywords: Edgeworth expansion
zbMATH Keywords: shortfall probability
zbMATH Keywords: large deviations
MaRDI profile type: Publication
full work available at URL: j.ejor.2010.12.007
OpenAlex ID: W2000561475
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DOI: 10.1016/J.EJOR.2010.12.007
author: Ba Chu
author: John Knight
author: Stephen Satchell
description: scientific article; zbMATH DE number 6034960