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"Expected utility maximization and conditional value-at-risk ..."

Sona Kilianová, Daniel Sevcovic (2018)

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DOI: 10.14736/KYB-2018-6-1167

access: open

type: Journal Article

metadata version: 2022-10-02

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  - journals/kybernetika/KilianovaS18
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Sona Kilianová, Daniel Sevcovic:
Expected utility maximization and conditional value-at-risk deviation-based Sharpe ratio in dynamic stochastic portfolio optimization. Kybernetika 54(6): 1167-1183 (2018)

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