TRACTABLE ROBUST EXPECTED UTILITY AND RISK MODELS FOR PORTFOLIO OPTIMIZATION
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Publication:3161743
DOI10.1111/j.1467-9965.2010.00417.xzbMath1232.91633OpenAlexW2136914524MaRDI QIDQ3161743
Melvyn Sim, Joline Uichanco, Karthik Natarajan
Publication date: 15 October 2010
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00417.x
Convex programming (90C25) Utility theory (91B16) Optimal stochastic control (93E20) Portfolio theory (91G10)
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