Minimal investment risk of a portfolio optimization problem with budget and investment concentration constraints
نویسندگان
چکیده
منابع مشابه
Investment optimization under constraints
We analyze general stochastic optimization financial problems under constraints in a general framework, which includes financial models with some “imperfection”, such as constrained portfolios, labor income, random endowment and large investor models. By using general optional decomposition under constraints in a multiplicative form, we first develop a dual formulation under minimal assumption ...
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ژورنال
عنوان ژورنال: Journal of Statistical Mechanics: Theory and Experiment
سال: 2017
ISSN: 1742-5468
DOI: 10.1088/1742-5468/aa56a0