SOLVING PORTFOLIO OPTIMIZATION PROBLEMS WITH STRUCTURED PRODUCTS

DOI10.12732/ijpam.v93i1.12zbMath1304.91180OpenAlexW2071215008MaRDI QIDQ2878250

M. Baweja, Ratnesh Rajan Saxena

Publication date: 28 August 2014

Published in: International Journal of Pure and Apllied Mathematics (Search for Journal in Brave)

Full work available at URL: http://www.ijpam.eu/contents/2014-93-1/12/index.html

zbMATH Keywords

portfolio optimizationconditional value-at-riskstructured productscapital-protected

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Portfolio theory (91G10)