Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control
From MaRDI portal
Publication:2464235
DOI10.1016/j.ejor.2006.09.002zbMath1161.91410MaRDI QIDQ2464235
Yonggan Zhao, William T. Ziemba
Publication date: 10 December 2007
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2006.09.002
90C15: Stochastic programming
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Cites Work
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