Optimal portfolio strategy under minimax criterion with constraints (Q4926440)
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scientific article; zbMATH DE number 6178710
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| English | Optimal portfolio strategy under minimax criterion with constraints |
scientific article; zbMATH DE number 6178710 |
Statements
20 June 2013
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\(l_\infty\) risk measure
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optimal strategy
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upper limit of investment
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numerical example
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0.8266268968582153
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0.8260446190834045
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0.8212398290634155
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0.8198882341384888
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0.8178433179855347
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