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The strategic asset allocation optimization model of sovereign wealth funds based on maximum CRRA utility & minimum VAR.

Jing YuBin XuHaizhen YangYong Shi
Published in: ICCS (2010)
Keyphrases
  • optimization model
  • asset allocation
  • optimization process
  • portfolio management
  • utility function
  • optimal portfolio
  • stock market
  • expected utility
  • network flow
  • decision making
  • capacity planning