Optimal portfolios in the presence of stress scenarios : a worst-case approach
Ralf Korn, Lukas Müller
| Year of publication: |
2022
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|---|---|
| Authors: | Korn, Ralf ; Müller, Lukas |
| Subject: | Optimal portfolios | Stress scenarios | Indifference principle | Minimum constant portfolio | Constrained optimization | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Szenariotechnik | Scenario analysis |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-021-00304-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013167740