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
  • [31] Optimal portfolio choice and the valuation of illiquid securities
    Longstaff, FA
    REVIEW OF FINANCIAL STUDIES, 2001, 14 (02): : 407 - 431
  • [32] Optimal portfolio choice under a liability constraint
    Leszek S. Zaremba
    Włodzimierz H. Smoleński
    Annals of Operations Research, 2000, 97 : 131 - 141
  • [33] Optimal portfolio selection under minimax criterion with short-selling
    Sun, Chunyan
    Zhang, Minhong
    2017 29TH CHINESE CONTROL AND DECISION CONFERENCE (CCDC), 2017, : 4538 - 4542
  • [34] A MINIMUM BAYES RISK APPROACH TO OPTIMAL PORTFOLIO CHOICE
    LIN, WT
    INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE, 1981, 12 (04) : 495 - 509
  • [35] Optimal consumption and portfolio choice for pooled annuity funds
    Stamos, Michael Z.
    INSURANCE MATHEMATICS & ECONOMICS, 2008, 43 (01): : 56 - 68
  • [36] High performance computations for an optimal portfolio choice problem
    Breitler, M
    Hegi, S
    Reymond, JD
    Tuchschmid, NS
    HIGH-PERFORMANCE COMPUTING AND NETWORKING, 1997, 1225 : 293 - 302
  • [37] Optimal portfolio choice under kinked power utility
    Pelsser, Antoon
    Yang, Li
    SCANDINAVIAN ACTUARIAL JOURNAL, 2025,
  • [38] OPTIMAL PORTFOLIO CHOICE WITH CRASH RISK AND MODEL AMBIGUITY
    Korn, Ralf
    Mueller, Lukas
    INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2022, 25 (01)
  • [39] Optimal portfolio choice when utility depends on health
    Edwards, Ryan D.
    INTERNATIONAL JOURNAL OF ECONOMIC THEORY, 2010, 6 (02) : 205 - 225
  • [40] Optimal portfolio choice using the maximum Sharpe ratio
    Maller, Ross A.
    Durand, Robert B.
    Jafarpour, Hediah
    JOURNAL OF RISK, 2010, 12 (04): : 49 - 73
12345