Sensitivity analysis of portfolio properties with budget constraints

DOI10.1504/IJMOR.2011.040028MaRDI QIDQ548468zbMATH OpenOpenAlexFDO

Authors Marco Percoco, E. Borgonovo

Publication date 28 June 2011

Published in International Journal of Mathematics in Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1504/ijmor.2011.040028

zbMATH Keywords

sensitivity analysisvariancevalue at riskportfolio managementportfolio returnsbudget constraintsGARCH volatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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