Portfolio optimization with optimal expected utility risk measures
| Author: | Sebastian GeisselORCiD, Holger Graf, Julia Herbinger, Frank Thomas Seifried |
|---|---|
| DOI: | https://doi.org/10.1007/s10479-021-04403-7 |
| ISSN/eISSN: | 1572-9338 |
| Parent Title (English): | Annals of Operations Research |
| Document Type: | Article |
| Language: | English |
| Date of Publication (online): | 2021/11/22 |
| Publishing Institution: | Hochschule Nürtingen-Geislingen |
| Release Date: | 2022/05/13 |
| Tag: | Optimal expected utility; Portfolio optimization; Risk measures; Value at risk |
| Volume: | 309 |
| Issue: | February 2022 Issue 1 |
| Page Number: | 18 |
| First Page: | 59 |
| Last Page: | 77 |
| open access: | ja |