DOI10.3934/jimo.2019076zbMath1476.91147MaRDI QIDQ2244237
Yuanyao Ding, Zu-di Lu
Publication date: 12 November 2021 Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave) Full work available at URL: https://doi.org/10.3934/jimo.2019076
zbMATH Keywords
optimal portfolio; Sharpe ratio; portfolio choice; extreme loss risk; safety-first rule
Mathematics Subject Classification ID
90C15: Stochastic programming
91G10: Portfolio theory