Problems in Portfolio Theory and the Fundamentals of Financial Decision Making

DOI10.1142/9945zbMath1422.91006MaRDI QIDQ4631642

William T. Ziemba, Leonard C. MacLean

Publication date: 16 April 2019

Published in: World Scientific Series in Finance (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/5c93a91221f97a3bedaaa186e2cc41d0ede47091

zbMATH Keywords

asset pricing; risk aversion; arbitrage; risk measures; stochastic dominance; utility theory; asset allocation; financial decision making; dynamic portfolio theory; problems in portfolio theory; static portfolio theory

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

91G70: Statistical methods; risk measures

91B16: Utility theory

91G10: Portfolio theory

91-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance