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Academic Journal

Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation.

Subjects: PORTFOLIO management (Investments)

  • Source: Mathematical Methods of Operations Research. Feb2022, Vol. 95 Issue 1, p101-140. 40p.

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Academic Journal

Aumann–Serrano index of risk in portfolio optimization.

Subjects: PORTFOLIO management (Investments); STOCK exchanges; FINANCIAL crises

  • Source: Mathematical Methods of Operations Research. Oct2021, Vol. 94 Issue 2, p197-217. 21p.

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Academic Journal

Performance evaluation of investment with DEA models under pure jump processes.

Subjects: JUMP processes; DATA envelopment analysis; LEVY processesTEHRAN (Iran)

  • Source: Concurrency & Computation: Practice & Experience. Feb2023, Vol. 35 Issue 3, p1-16. 16p.

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Academic Journal

Relative utility bounds for empirically optimal portfolios.

Subjects: PORTFOLIO management (Investments); HOLDER spaces; STOCK prices

  • Source: Mathematical Methods of Operations Research. Jun2021, Vol. 93 Issue 3, p437-462. 26p.

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