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Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control.

Yonggan ZhaoWilliam T. Ziemba
Published in: Eur. J. Oper. Res. (2008)
Keyphrases
  • optimal portfolio
  • risk neutral
  • probability distribution
  • mathematical model
  • portfolio selection
  • control policy
  • risk averse