A Risk-Minimizing Model Under Uncertainty in Portfolio

DOI10.1007/978-3-540-72950-1_38MaRDI QIDQ5432286zbMATH OpenOpenAlexFDO

Authors Yuji Yoshida

Publication date 2 January 2008

Published in Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-72950-1_38

Mathematics Subject Classification ID

Portfolio theory (91G10)

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• An estimation model of value-at-risk portfolio under uncertainty
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• A risk index model for multi-period uncertain portfolio selection
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• On the quasi-efficient frontier of the set of optimal portfolios under hybrid uncertainty with short sales allowed

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