PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS (Q5488976)
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scientific article; zbMATH DE number 5056723
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS |
scientific article; zbMATH DE number 5056723 |
Statements
PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS (English)
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25 September 2006
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optimal portfolio selection
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utility maximization
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downside constraint
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Malliavin calculus
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gradient operator
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Clark-Ocone formula
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