CHARACTERIZATIONS OF OPTIMAL PORTFOLIOS BY UNIVARIATE AND MULTIVARIATE RISK-AVERSION

被引：4

作者：

LI, Y ^{[1
]}

ZIEMBA, WT ^{[1
]}

机构：

[1] UNIV BRITISH COLUMBIA,FAC COMMERCE,VANCOUVER V6T 1Y8,BC,CANADA

来源：

MANAGEMENT SCIENCE | 1989年 / 35卷 / 03期

关键词：

D O I：

10.1287/mnsc.35.3.259

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

引用

页码：259 / 269

页数：11

共 20 条

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[3]

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[4] MATRIX MEASURE OF MULTIVARIATE LOCAL RISK AVERSION [J].

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[5] OPTIMAL PORTFOLIOS WITH ONE SAFE AND ONE RISKY ASSET - EFFECTS OF CHANGES IN RATE OF RETURN AND RISK [J].

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[6]

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[8] COMPARISON OF ALTERNATIVE UTILITY-FUNCTIONS IN PORTFOLIO SELECTION-PROBLEMS [J].

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ZIEMBA, WT .

MANAGEMENT SCIENCE, 1983, 29 (11) :1257-1276

[9] THE DEMAND FOR A RISKY ASSET [J].

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ZIEMBA, WT .

MANAGEMENT SCIENCE, 1980, 26 (11) :1158-1165

[10]

LI Y, 1987, UNIVARIATE MULTIVARI

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