Review: Expected utility maximization and conditional value-at-risk deviation-based Sharpe ratio in dynamic stochastic portfolio optimization

Ryle S Perera

Review: Expected utility maximization and conditional value-at-risk deviation-based Sharpe ratio in dynamic stochastic portfolio optimization

Ryle S Perera

Department of Applied Finance

Research output: Contribution to journal › Review article

Abstract

Review of: Kilianová, Soňa; Ševčovič, Daniel. Expected utility maximization and conditional value-at-risk deviation-based Sharpe ratio in dynamic stochastic portfolio optimization. Kybernetika (Prague) 54 (2018), no. 6, 1167–1183.

Original language	English
Article number	MR3902627
Number of pages	2
Journal	Mathematical Reviews
Publication status	Published - 20 Aug 2019

Cite this

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title = "Review: Expected utility maximization and conditional value-at-risk deviation-based Sharpe ratio in dynamic stochastic portfolio optimization",

abstract = "Review of: Kilianov{\'a}, So{\v n}a; {\v S}ev{\v c}ovi{\v c}, Daniel. Expected utility maximization and conditional value-at-risk deviation-based Sharpe ratio in dynamic stochastic portfolio optimization. Kybernetika (Prague) 54 (2018), no. 6, 1167–1183.",

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AU - Perera, Ryle S

PY - 2019/8/20

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N2 - Review of: Kilianová, Soňa; Ševčovič, Daniel. Expected utility maximization and conditional value-at-risk deviation-based Sharpe ratio in dynamic stochastic portfolio optimization. Kybernetika (Prague) 54 (2018), no. 6, 1167–1183.

AB - Review of: Kilianová, Soňa; Ševčovič, Daniel. Expected utility maximization and conditional value-at-risk deviation-based Sharpe ratio in dynamic stochastic portfolio optimization. Kybernetika (Prague) 54 (2018), no. 6, 1167–1183.

M3 - Review article

SN - 2167-5163

JO - Mathematical Reviews

JF - Mathematical Reviews

M1 - MR3902627

ER -

Review: Expected utility maximization and conditional value-at-risk deviation-based Sharpe ratio in dynamic stochastic portfolio optimization

Abstract

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