Zinoviy Landsman, Udi E. Makov, T. Shushi. Portfolio Optimization by a Bivariate Functional of the Mean and Variance. J. Optimization Theory and Applications, 185(2):622-651, 2020. [doi]
@article{LandsmanMS20,
title = {Portfolio Optimization by a Bivariate Functional of the Mean and Variance},
author = {Zinoviy Landsman and Udi E. Makov and T. Shushi},
year = {2020},
doi = {10.1007/s10957-020-01664-3},
url = {https://doi.org/10.1007/s10957-020-01664-3},
researchr = {https://researchr.org/publication/LandsmanMS20},
cites = {0},
citedby = {0},
journal = {J. Optimization Theory and Applications},
volume = {185},
number = {2},
pages = {622-651},
}