Portfolio optimization with two quasiconvex risk measures (Q5100236)
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scientific article; zbMATH DE number 7577189
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization with two quasiconvex risk measures |
scientific article; zbMATH DE number 7577189 |
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Portfolio optimization with two quasiconvex risk measures (English)
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29 August 2022
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portfolio optimization
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quasiconvex risk measure
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minimal penalty function
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maximal risk function
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Lagrange duality
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bisection method
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