Portfolio selection problem with value-at-risk constraints under non-extensive statistical mechanics
type: Item
instance of: scholarly article
title: Portfolio selection problem with value-at-risk constraints under non-extensive statistical mechanics
zbMATH Open document ID: 1409.91224
author: Pan Zhao
author: Qingxian Xiao
published in: Journal of Computational and Applied Mathematics
publication date: 2016-02-04T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 90C39
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6539260
zbMATH Keywords: non-extensive statistics
zbMATH Keywords: portfolio selection
zbMATH Keywords: value-at-risk
zbMATH Keywords: utility
zbMATH Keywords: dynamic programming principle
MaRDI profile type: Publication
full work available at URL: j.cam.2015.12.008
OpenAlex ID: W2203388908
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DOI: 10.1016/J.CAM.2015.12.008
description: scientific article; zbMATH DE number 6539260