Portfolio choice and optimal hedging with general risk functions: a simplex-like algorithm (Q1011192)
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scientific article; zbMATH DE number 5541391
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| English | Portfolio choice and optimal hedging with general risk functions: a simplex-like algorithm |
scientific article; zbMATH DE number 5541391 |
Statements
Portfolio choice and optimal hedging with general risk functions: a simplex-like algorithm (English)
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8 April 2009
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risk measure
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deviation measure
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portfolio selection
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infinite-dimensional linear programming
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simplex-like method
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0.7937840223312378
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0.7934494614601135
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0.7865956425666809
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0.7855578660964966
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0.780017077922821
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