Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory (Q2700077)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory |
scientific article |
Statements
Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory (English)
0 references
20 April 2023
0 references
portfolio optimization
0 references
rank-dependent expected utility
0 references
quantile formulation
0 references
relaxation method
0 references
VaR constraint
0 references
0 references
0 references
0 references