Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation (Q665824)
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scientific article; zbMATH DE number 6012454
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| English | Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation |
scientific article; zbMATH DE number 6012454 |
Statements
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation (English)
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6 March 2012
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portfolio optimization
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value-at-risk
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computational complexity
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state-price density
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0.7830568552017212
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0.7717552185058594
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0.7553845047950745
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0.7550909519195557
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