Sensitivity analysis of portfolio properties with budget constraints

DOI10.1504/IJMOR.2011.040028zbMATH Open1215.91080OpenAlexW2035667986MaRDI QIDQ548468FDOQ548468

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

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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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• Sensitivity Analysis of Asset Flow Differential Equations and Volatility Comparison of Two Related Variables
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• Sensitivity analysis of bond portfolio management model

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