Capital growth with security
From MaRDI portal
Publication:951507
DOI10.1016/S0165-1889(03)00056-3zbMath1179.91235MaRDI QIDQ951507
Yonggan Zhao, William T. Ziemba, Leonard C. MacLean, Rafael Sanegre
Publication date: 24 October 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
value at risk; scenario generation; drawdown constraint; capital growth; growth and security; Kelly strategy
90C15: Stochastic programming
90B50: Management decision making, including multiple objectives
91G10: Portfolio theory