El problema de la seleccion de la cartera cuando las rentas tienen distribuciones estables

DOI10.1007/BF02908015zbMath0438.90043MaRDI QIDQ3880566

No author found.

Publication date: 1975

Published in: Trabajos de Estadistica y de Investigacion Operativa (Search for Journal in Brave)

zbMATH Keywords

financeduality theoremsymmetric stable distributionportfolio selection problemoptimal portfoliosefficient portfoliosrisk-free assetcriterion of maximum probabilityfractile criterionMarkowitz theoryparametric convex programprofits with stable distributions

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Applications of mathematical programming (90C90) Fractional programming (90C32) Operations research and management science (90B99)

Related Items (2)

El problema de seleccion de la cartera en un mercado logaritmico-normal con criterio de utilidad R-∈ ⋮ Bibliography in fractional programming

Cites Work

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• Multivariate stable distributions
• Parameter Estimates for Symmetric Stable Distributions
• Estimation in Univariate and Multivariate Stable Distributions

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