Problem of selecting an optimal portfolio with a probabilistic risk function

DOI10.1007/S10958-016-2921-ZzbMATH Open1415.91261OpenAlexW2441092940MaRDI QIDQ308568FDOQ308568

T. V. Zolotova, V. A. Gorelik

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)

Cites Work

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• The Mathematics of Financial Derivatives
• Quantitative methods for portfolio analysis. MTV model approach
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Cited In (12)

• Decision on nonnegative investment proportional coefficient of portfolio for risk minimization
• Optimal portfolio problem with unknown dependency structure
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• On the optimal risk allocation problem
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• Title not available (Why is that?)
• Title not available (Why is that?)
• Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
• Title not available (Why is that?)
• Title not available (Why is that?)
• Portfolio optimization using a new probabilistic risk measure

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