Large deviations and portfolio optimization
نویسندگان
چکیده
منابع مشابه
Large deviations and portfolio optimization
Risk control and optimal diversification constitute a major focus in the finance and insurance industries as well as, more or less consciously, in our everyday life. We present a discussion of the characterization of risks and of the optimization of portfolios that starts from a simple illustrative model and ends by a general functional integral formulation. A major item is that risk, usually t...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 1998
ISSN: 0378-4371
DOI: 10.1016/s0378-4371(98)00114-9