Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization

Fuente: arXiv

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Bibliographic Details
Main Authors:	Luxenberg, Eric, Schiele, Philipp, Boyd, Stephen
Format:	Preprint
Published:	2022
Subjects:	Optimization and Control Portfolio Management G.1.6
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2209.03461