Portfolio selection in a lognormal securities market

DOI10.1007/BF01290062MaRDI QIDQ4166476zbMATH OpenFDO

Authors Syed M. Ahsan

Publication date 1978

Published in Zeitschrift für Nationalökonomie (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF01290062

Mathematics Subject Classification ID

Operations research and management science (90B99) Decision theory (91B06)

Cites work

• A Generalization of Some Distribution Aspects of Chance-Constrained Linear Programming
• scientific article; zbMATH DE number 3133146 (Why is no real title available?)
• scientific article; zbMATH DE number 3354817 (Why is no real title available?)
• scientific article; zbMATH DE number 3420451 (Why is no real title available?)
• Some Effects of Taxes on Risk-Taking
• Stochastic Dominance among Log-Normal Prospects

Cited in

(5)

• On the conditional distributions and the efficient simulations of exponential integrals of Gaussian random fields
• On the tail probabilities of aggregated lognormal random fields with small noise
• Tail approximations of integrals of Gaussian random fields
• Some asymptotic results of Gaussian random fields with varying mean functions and the associated processes
• Efficient simulations for the exponential integrals of Hölder continuous Gaussian random fields

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