Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation (Q665824)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation |
scientific article |
Statements
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation (English)
0 references
6 March 2012
0 references
portfolio optimization
0 references
value-at-risk
0 references
computational complexity
0 references
state-price density
0 references
