On the computation of optimal monotone mean-variance portfolios via truncated quadratic utility (Q690974)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: On the computation of optimal monotone mean-variance portfolios via truncated quadratic utility |
scientific article; zbMATH DE number 6111204
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | On the computation of optimal monotone mean-variance portfolios via truncated quadratic utility |
scientific article; zbMATH DE number 6111204 |
Statements
On the computation of optimal monotone mean-variance portfolios via truncated quadratic utility (English)
0 references
29 November 2012
0 references
optimal portfolio
0 references
truncated quadratic utility
0 references
monotone mean-variance preferences
0 references
divergence preferences
0 references
HARA utility
0 references
monotone hull
0 references
translation-invariant hull
0 references
0.7828041911125183
0 references
0.7695115208625793
0 references
0.7645136713981628
0 references
0.7639115452766418
0 references
