Portfolio selection: a linear approach with dual expected utility

DOI10.1016/j.amc.2005.11.141zbMath1158.91372OpenAlexW1992503871MaRDI 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 programmingportfolio selectiondual expected utility

Mathematics Subject Classification ID

Linear programming (90C05) Portfolio theory (91G10)

Related Items (1)

A test on the location of the tangency portfolio on the set of feasible portfolios

Cites Work

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• Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine
• Selecting portfolios with fixed costs and minimum transaction lots

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