A MINIMAX POLICY FOR OPTIMAL PORTFOLIO CHOICE

被引：8
|
作者：
SENGUPTA, JK
机构：
来源：
INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE | 1982年 / 13卷 / 01期
关键词：
D O I：
10.1080/00207728208926329
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
引用
收藏
页码：39 / 56
页数：18
相关论文
共 50 条
  • [1] Optimal granularity for portfolio choice
    Branger, Nicole
    Lucivjanska, Katarina
    Weissensteiner, Alex
    JOURNAL OF EMPIRICAL FINANCE, 2019, 50 : 125 - 146
  • [2] Optimal portfolio choice with benchmarks
    Bernard, Carole
    De Staelen, Rob H.
    Vanduffel, Steven
    JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY, 2019, 70 (10) : 1600 - 1621
  • [3] OPTIMAL PORTFOLIO REVISION POLICY
    CHEN, AHY
    JEN, FC
    ZIONTS, S
    JOURNAL OF BUSINESS, 1971, 44 (01): : 51 - 61
  • [4] Optimal portfolio choice with parameter uncertainty
    Kan, Raymond
    Zhou, Guofu
    JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2007, 42 (03) : 621 - 656
  • [5] Optimal portfolio choice and consistent performance
    Chen X.
    Tian W.
    Decisions in Economics and Finance, 2014, 37 (2) : 453 - 474
  • [6] SELECTION AND ORDERING IN OPTIMAL PORTFOLIO CHOICE
    SENGUPTA, JK
    INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE, 1982, 13 (12) : 1351 - 1360
  • [7] Correlation Risk and Optimal Portfolio Choice
    Buraschi, Andrea
    Porchia, Paolo
    Trojani, Fabio
    JOURNAL OF FINANCE, 2010, 65 (01): : 393 - 420
  • [8] OPTIMAL PORTFOLIO CHOICE IN THE SINGULAR CASE
    SENGUPTA, JK
    INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE, 1983, 14 (08) : 995 - 1012
  • [9] Optimal portfolio choice and stochastic volatility
    Gron, Anne
    Jorgensen, Bjorn N.
    Polson, Nicholas G.
    APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2012, 28 (01) : 1 - 15
  • [10] Optimal portfolio choice in the bond market
    Nathanael Ringer
    Michael Tehranchi
    Finance and Stochastics, 2006, 10 : 553 - 573
12345