Optimal utility portfolio with probability constraint

MaRDI QIDQ3641522zbMATH OpenFDO

Authors Lei Ye, Hua Hu, Zhongxing Ye

Publication date 11 November 2009

zbMATH Keywords

mean-variance modelportfolioprobability constraintutility function

Mathematics Subject Classification ID

Combinatorial optimization (90C27) Utility theory (91B16) Portfolio theory (91G10)

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