Portfolio selection: a linear approach with dual expected utility

DOI10.1016/j.amc.2005.11.141zbMath1158.91372MaRDI QIDQ849753

Marisa Cenci, Francesco Filippini

Publication date: 31 October 2006

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2005.11.141

zbMATH Keywords

linear programming; portfolio selection; dual expected utility

Mathematics Subject Classification ID

90C05: Linear programming

91G10: Portfolio theory

Cites Work

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