zbMath1199.91195MaRDI QIDQ3641522
Hua Hu, Lei Ye, Zhong-Xing Ye
Publication date: 11 November 2009
zbMATH Keywords
portfolio; utility function; mean-variance model; probability constraint
Mathematics Subject Classification ID
90C27: Combinatorial optimization
91B16: Utility theory
91G10: Portfolio theory