Risk and utility in portfolio optimization
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Publication:1873937
DOI10.1016/S0378-4371(02)01957-XzbMath1072.91575arXivcond-mat/0212187MaRDI QIDQ1873937
Morrel H. Cohen, Vincent D. Natoli
Publication date: 21 May 2003
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/cond-mat/0212187
Gaussian probability distribution; pre-established investment-goal failure probability; stock-price data
91G10: Portfolio theory
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