Safety-first portfolio selection

DOI10.1007/s10559-012-9396-9zbMath1298.91144OpenAlexW2060691938MaRDI QIDQ5891856

S. V. Boyko, Vladimir I. Norkin

Publication date: 27 October 2014

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10559-012-9396-9

zbMATH Keywords

optimizationreturnfinancial portfolioefficient frontierdownside riskprobability estimateRoy safety

Mathematics Subject Classification ID

Boolean programming (90C09) Portfolio theory (91G10)

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