Non-concave portfolio optimization with average value-at-risk (Q6113171)
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scientific article; zbMATH DE number 7709674
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Non-concave portfolio optimization with average value-at-risk |
scientific article; zbMATH DE number 7709674 |
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Non-concave portfolio optimization with average value-at-risk (English)
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10 July 2023
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average value-at-risk
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non-concave portfolio optimization
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risk-neutral pricing constraint
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quantile formulation
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