Risk Aversion in Chance Constrained Portfolio Selection

DOI10.1287/MNSC.18.3.218MaRDI QIDQ5632324zbMATH OpenOpenAlexFDO

Authors David H. Pyle, Stephen J. Turnovsky

Publication date 1971

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.18.3.218

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

Cited in

(3)

• Safety-first analysis and stable Paretian approach to portfolio choice theory
• Static and dynamic VaR constrained portfolios with application to delegated portfolio management
• A sparse chance constrained portfolio selection model with multiple constraints

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