PORTFOLIO OPTIMIZATION WITH PERFORMANCE RATIOS (Q5234010)

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scientific article; zbMATH DE number 7102644
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English
PORTFOLIO OPTIMIZATION WITH PERFORMANCE RATIOS
scientific article; zbMATH DE number 7102644

    Statements

    title
    PORTFOLIO OPTIMIZATION WITH PERFORMANCE RATIOS (English)
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    author
    Hongcan Lin
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    David Saunders
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    Chengguo Weng
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    publication date
    9 September 2019
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    zbMATH Keywords
    performance ratio
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    portfolio optimization
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    stochastic control
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    martingale method
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    93E20
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    60G44
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    zbMATH DE Number
    7102644
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    Wikidata QID
    Q127772636
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    OpenAlex ID
    W2951437293
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