Convex duality in constrained portfolio optimization (Q1203746)

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scientific article
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Convex duality in constrained portfolio optimization
scientific article

    Statements

    title
    Convex duality in constrained portfolio optimization (English)
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    author
    Jakša Cvitanić
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    Ioannis Karatzas
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    publication date
    22 February 1993
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    zbMATH Keywords
    continuous-time
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    Itô process
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    93E20
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    60H30
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    60G44
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    91B62
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    49N15
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    91B16
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    zbMATH DE Number
    120354
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    OpenAlex ID
    W1991510170
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    Wikidata QID
    Q89210944
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