Optimal investment strategies with VaR constraint under the rank dependent utility maximization (Q4980184)
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scientific article; zbMATH DE number 6310953
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| default for all languages | No label defined |
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| English | Optimal investment strategies with VaR constraint under the rank dependent utility maximization |
scientific article; zbMATH DE number 6310953 |
Statements
30 June 2014
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rank dependent utility
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VaR constraint
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portfolio selection
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0.918425679206848
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0.850288987159729
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0.8249741792678833
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0.8217666149139404
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