Generalized concavity of a function in portfolio theory

DOI10.1007/BF01920307MaRDI QIDQ3691360zbMATH OpenOpenAlexFDO

Authors S. Schaible, William T. Ziemba

Publication date 1985

Published in Zeitschrift für Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01920307

zbMATH Keywords

approximationcapital market equilibriumclosedness under additionmultivariate lognormal distributionsportfolio selection

Mathematics Subject Classification ID

Convexity of real functions of several variables, generalizations (26B25) Convex programming (90C25) Applications of mathematical programming (90C90)

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Cites work

• A Review of Quasi-Convex Functions
• Comparison of Alternative Utility Functions in Portfolio Selection Problems
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• scientific article; zbMATH DE number 3138903 (Why is no real title available?)
• scientific article; zbMATH DE number 3858866 (Why is no real title available?)
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• scientific article; zbMATH DE number 3323071 (Why is no real title available?)
• scientific article; zbMATH DE number 3417267 (Why is no real title available?)
• Mutual fund separation in financial theory - the separating distributions
• Nine kinds of quasiconcavity and concavity
• On second order conditions for quasiconvexity
• Quasi-convexity, strictly quasi-convexity and pseudo-convexity of composite objective functions
• Risk Aversion in the Small and in the Large
• The Efficiency Analysis of Choices Involving Risk

Cited in

(10)

• The origins of quasi-concavity: a development between mathematics and economics.
• Approximate portfolio analysis
• Extremist vs. centrist decision behavior: Quasi-convex utility functions for interactive multi-objective linear programming problems
• Extended gradient of convex function and capital allocation
• Exponentially concave functions and high dimensional stochastic portfolio theory
• A general theorem for portfolio generating functions
• scientific article; zbMATH DE number 3848915 (Why is no real title available?)
• scientific article; zbMATH DE number 4199918 (Why is no real title available?)
• Fractional programming
• A note on portfolios of averages of lognormal variables

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