A moment matching approach to log-normal portfolio optimization (Q1789581)
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scientific article; zbMATH DE number 6950359
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| default for all languages | No label defined |
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| English | A moment matching approach to log-normal portfolio optimization |
scientific article; zbMATH DE number 6950359 |
Statements
A moment matching approach to log-normal portfolio optimization (English)
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10 October 2018
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portfolio management
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log-normal distribution
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basket options
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nonlinear optimization
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0.7605757117271423
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0.7093498706817627
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0.7079687714576721
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0.7072513103485107
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0.7069172859191895
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