A mean-variance portfolio selection problem subject to a benchmark constraint: An existence result
نویسندگان
چکیده
In this paper, we study a mean-variance portfolio selection problem that has a probabilistic benchmark constraint. This constraint changes the problem into a nonconvex one but could be solved via the method of Lagrange multipliers, whose existence is crucial in the solution.
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ورودعنوان ژورنال:
- Risk and Decision Analysis
دوره 4 شماره
صفحات -
تاریخ انتشار 2013