A moment matching approach to log-normal portfolio optimization
Elçin Çetinkaya, Aurélie Thiele
| Year of publication: |
October 2016
|
|---|---|
| Authors: | Çetinkaya, Elçin ; Thiele, Aurélie |
| Published in: |
Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 13.2016, 4, p. 501-520
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| Subject: | Portfolio management | Log-Normal distribution | Basket options | Nonlinear optimization | Portfolio-Management | Portfolio selection | Theorie | Theory | Statistische Verteilung | Statistical distribution | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10287-06-0255-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011669589