Portfolio optimization for wealth-dependent risk preferences (Q1958620)

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Portfolio optimization for wealth-dependent risk preferences
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    title
    Portfolio optimization for wealth-dependent risk preferences (English)
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    author
    Luis Miguel Rios
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    Nikolaos V. Sahinidis
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    publication date
    4 October 2010
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    Mathematics Subject Classification ID
    91G10
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    91B30
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    90C26
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    91B16
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    zbMATH DE Number
    5795196
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    zbMATH Keywords
    investor
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    risk-averse
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    risk-seeking
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    portfolio
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    nonconvex optimization
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