Portfolio optimization under shortfall risk constraint (Q2817245)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization under shortfall risk constraint |
scientific article |
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Portfolio optimization under shortfall risk constraint (English)
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29 August 2016
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portfolio optimization
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utility-based shortfall risk
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convex duality
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Lagrange multiplier
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asymptotic elasticity
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optimal consumption
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