scientific article; zbMATH DE number 3720627

MaRDI QIDQ3910261zbMATH OpenFDO

Authors A. S. Dexter, J. N. W. Yu, William T. Ziemba

Publication date 1980

zbMATH Keywords

computational resultsinvestmentlognormal marketportfolio selectionpower utility functionwealth allocation

Mathematics Subject Classification ID

Stochastic programming (90C15) Applications of mathematical programming (90C90) Portfolio theory (91G10)

Cited in

(7)

• Standardized versus customized portfolio: a compensating variation approach
• Mean-variance approximations to expected utility
• The opportunity cost of mean-variance choice under estimation risk
• Generalized concavity of a function in portfolio theory
• Bibliography in fractional programming
• Optimum portfolio diversification in a general continuous-time model
• Employee stock ownership and diversification

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