@glueoyster2
Active 3 years, 8 months ago
We show that optimal solutions to a large class of portfolio models that maximize expected return subject to downside risk constraints are driven by this casino effect and present tractable conditions under which it occurs in our model. We propose to control the casino effect by using chance constraints. Using results from financial […] View
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Ryan Field posted an update 3 years, 8 months ago
We show that optimal solutions to a large class of portfolio models that maximize expected return subject to downside risk constraints are driven by this casino effect and present tractable conditions under which it occurs in our model. We propose to control the casino effect by using chance constraints. Using results from financial…[Read more]
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Ryan Field became a registered member 3 years, 8 months ago

