PORTFOLIO CHOICE VIA QUANTILES
Author:
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9965.2010.00432.x/fullpdf
Reference43 articles.
1. Optimal Portfolio Choice under Loss Aversion;Berkelaar;Rev. Econ. Stat,2004
2. Reaching Goals by a Deadline: Digital Options and Continuous-time Active Portfolio Management;Browne;Adv. Appl. Probab,1999
3. Risk-constrained Dynamic Active Portfolio Management;Browne;Manage. Sci,2000
4. Law Invariant Concave Utility Functions and Optimization Problems with Monotonicity and Comonotonicity Constraints;Carlier;Stat. Decis,2006
5. Cherny , A. D. B. Madan 2009 New Measures for Performance Evaluation Rev. Financ. Stud. 22 7 2371 2406
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