Use of stochastic and mathematical programming in portfolio theory and practice

DOI10.1007/s10479-008-0441-zzbMath1163.90689OpenAlexW2088614556MaRDI QIDQ1026547

William T. Ziemba

Publication date: 25 June 2009

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-008-0441-z

zbMATH Keywords

stochastic programmingutility functionrisk aversionportfolio theorymean-variance analysiscapital growth theory

Mathematics Subject Classification ID

Related Items (2)

Characterization of efficient frontier for mean-variance model with a drawdown constraint ⋮ Dynamic asset allocation for varied financial markets under regime switching framework

Cites Work

• Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
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• The Innovest Austrian Pension Fund Financial Planning Model InnoALM
• Calculation of Investment Portfolios with Risk Free Borrowing and Lending
• Risk Aversion in the Small and in the Large
• The Efficiency Analysis of Choices Involving Risk
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