Decision on nonnegative investment proportional coefficient of portfolio for risk minimization

MaRDI QIDQ3513281zbMATH OpenFDO

Authors Xue Deng

Publication date 6 August 2008

zbMATH Keywords

optimal investmentpenalty functionportfolio investmentproportional coefficientrisk minimization

Mathematics Subject Classification ID

Recommendations

• Some properties for a portfolio optimization model
• Portfolio selection problem with minimax type risk function
• Risk-sensitive portfolio optimization problems with general nonnegative factor models
• Problem of selecting an optimal portfolio with a probabilistic risk function
• Polyhedral coherent risk measures and optimal portfolios on the reward-risk ratio

Cited in

(4)

• Distributionally robust return-risk optimization models and their applications
• The study of model for portfolio investment under non-positive definite matrix
• scientific article; zbMATH DE number 2135670 (Why is no real title available?)
• Some properties for a portfolio optimization model

This page was built for publication: Decision on nonnegative investment proportional coefficient of portfolio for risk minimization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3513281)