scientific article; zbMATH DE number 2065142

MaRDI QIDQ4459808zbMATH OpenFDO

Authors Andreas Nolte, Stephen R. Tate, Ming-Yang Kao

Publication date 18 May 2004

Mathematics Subject Classification ID

Portfolio theory (91G10)

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(4)

• Distribution of investments in the stock market, information types, and algorithmic complexity
• Risk-sensitive portfolio optimization problem for a large trader with inside information
• The risk profile problem for stock portfolio optimization (extended abstract)
• Designing proxies for stock market indices is computationally hard

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