Discrete approximation in quantile problem of Portfolio selection

zbMATH Open0990.91016MaRDI QIDQ2752032FDOQ2752032

Authors: A. I. Kibzun, Riho Lepp 

Publication date: 14 August 2002

Recommendations

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zbMATH Keywords

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

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cited In (3)

• Title not available (Why is that?)
• Safety-first portfolio selection
• A note on the quantile formulation

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