Discrete approximation in quantile problem of Portfolio selection

MaRDI QIDQ2752032zbMATH OpenFDO

Authors A. I. Kibzun, Riho Lepp

Publication date 14 August 2002

zbMATH Keywords

portfolio selectionstochastic programmingvalue-at-riskdiscrete approximationconfidence methodquantile criterionconfidence strategylogarithmic strategyrisky strategy

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cited in

(3)

• scientific article; zbMATH DE number 1724451 (Why is no real title available?)
• Safety-first portfolio selection
• A note on the quantile formulation

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