Comparison of various risk measures for an optimal portfolio (Q4989840)
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scientific article; zbMATH DE number 7351439
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| default for all languages | No label defined |
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| English | Comparison of various risk measures for an optimal portfolio |
scientific article; zbMATH DE number 7351439 |
Statements
26 May 2021
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portfolio optimization
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value at risk
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expected loss
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expected utility loss
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Black-Scholes model
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martingale method
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risk constraints
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0.8115169405937195
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0.8025836944580078
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0.7980962991714478
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0.7931491732597351
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0.7887944579124451
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