Risk sensitive portfolio optimization

Risk sensitive portfolio optimization

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Article ID: iaor20003540
Country: Germany
Volume: 50
Issue: 3
Start Page Number: 463
End Page Number: 474
Publication Date: Jan 1999
Journal: Mathematical Methods of Operations Research (Heidelberg)
Authors:
Keywords: portfolio management
Abstract:

In the paper discrete time portfolio selection with maximization of the risk sensitized growth rate with and without transaction costs is considered.

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