BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO (Q5889362)
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scientific article; zbMATH DE number 7676569
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| English | BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO |
scientific article; zbMATH DE number 7676569 |
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BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO (English)
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20 April 2023
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Sharpe ratio
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Lagrange multiplier method
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Black-Scholes market
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0.73196941614151
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0.7234253287315369
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0.7134811878204346
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0.7128642201423645
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0.7086551785469055
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