Expected utility approximation and portfolio optimisation
type: Item
instance of: scholarly article
title: Expected utility approximation and portfolio optimisation
zbMATH Open document ID: 1446.91076
author: Chaofan Sun
author: Matthias A. Fahrenwaldt
published in: Insurance Mathematics \& Economics
publication date: 2020-08-03T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B16
Mathematics Subject Classification ID: 49J55
zbMATH DE Number: 7226845
zbMATH Keywords: portfolio selection
zbMATH Keywords: expected utility
zbMATH Keywords: mean-variance optimisation
zbMATH Keywords: power utility
zbMATH Keywords: asymptotic analysis
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2020.05.010
OpenAlex ID: W3033798378
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DOI: 10.1016/J.INSMATHECO.2020.05.010
description: scientific article; zbMATH DE number 7226845