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- Publisher Website: 10.3233/RDA-2012-0075
- Scopus: eid_2-s2.0-84877842194
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Article: A Mean-Variance Portfolio Selection Problem Subject To A Benchmark Constraint: An Existence Result
Title | A Mean-Variance Portfolio Selection Problem Subject To A Benchmark Constraint: An Existence Result |
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Authors | |
Keywords | Lagrange multiplier mean-variance portfolio selection optimization |
Issue Date | 2013 |
Citation | Risk and Decision Analysis, 2013, v. 4, p. 25-38 How to Cite? |
Persistent Identifier | http://hdl.handle.net/10722/189148 |
DC Field | Value | Language |
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dc.contributor.author | Yam, SC | en_US |
dc.contributor.author | Yung, SP | en_US |
dc.contributor.author | Zhou, J | en_US |
dc.date.accessioned | 2013-09-17T14:28:04Z | - |
dc.date.available | 2013-09-17T14:28:04Z | - |
dc.date.issued | 2013 | en_US |
dc.identifier.citation | Risk and Decision Analysis, 2013, v. 4, p. 25-38 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/189148 | - |
dc.language | eng | en_US |
dc.relation.ispartof | Risk and Decision Analysis | en_US |
dc.subject | Lagrange multiplier | - |
dc.subject | mean-variance portfolio selection | - |
dc.subject | optimization | - |
dc.title | A Mean-Variance Portfolio Selection Problem Subject To A Benchmark Constraint: An Existence Result | en_US |
dc.type | Article | en_US |
dc.identifier.email | Yung, SP: spyung@hku.hk | en_US |
dc.identifier.email | Zhou, J: junhua@hkusua.hku.hk | en_US |
dc.identifier.authority | Yung, SP=rp00838 | en_US |
dc.identifier.doi | 10.3233/RDA-2012-0075 | - |
dc.identifier.scopus | eid_2-s2.0-84877842194 | - |
dc.identifier.hkuros | 225188 | en_US |
dc.identifier.volume | 4 | en_US |
dc.identifier.spage | 25 | en_US |
dc.identifier.epage | 38 | en_US |