Problem of selecting an optimal portfolio with a probabilistic risk function

DOI10.1007/S10958-016-2921-ZMaRDI QIDQ308568zbMATHOpenAlexFDO

Authors V. A. Gorelik, T. V. Zolotova

Publication date 6 September 2016

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10958-016-2921-z

zbMATH Keywords

optimal portfolioprobabilistic risk function

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

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• Quantitative methods for portfolio analysis. MTV model approach
• The Mathematics of Financial Derivatives

Cited in

(18)

• Portfolio optimization using a new probabilistic risk measure
• Probability criterion with admissible portfolio
• scientific article; zbMATH DE number 5077026 (Why is no real title available?)
• scientific article; zbMATH DE number 3950150 (Why is no real title available?)
• Decision on nonnegative investment proportional coefficient of portfolio for risk minimization
• The portfolio problem
• Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
• Optimal utility portfolio with probability constraint
• scientific article; zbMATH DE number 2074008 (Why is no real title available?)
• On the optimal risk allocation problem
• Optimal portfolio problem with unknown dependency structure
• scientific article; zbMATH DE number 1536483 (Why is no real title available?)
• Minimization of a function of a quadratic functional with application to optimal portfolio selection
• scientific article; zbMATH DE number 1506039 (Why is no real title available?)
• scientific article; zbMATH DE number 2065142 (Why is no real title available?)
• The two-step problem of investment portfolio selection from two risk assets via the probability criterion
• scientific article; zbMATH DE number 7267272 (Why is no real title available?)
• Scoring as a model of forming the optimal portfolio securities

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