K. C. Wong, Sheung Chi Phillip Yam, H. Zheng. Utility-Deviation-Risk Portfolio Selection. SIAM J. Control and Optimization, 55(3):1819-1861, 2017. [doi]
@article{WongYZ17,
title = {Utility-Deviation-Risk Portfolio Selection},
author = {K. C. Wong and Sheung Chi Phillip Yam and H. Zheng},
year = {2017},
doi = {10.1137/140986256},
url = {https://doi.org/10.1137/140986256},
researchr = {https://researchr.org/publication/WongYZ17},
cites = {0},
citedby = {0},
journal = {SIAM J. Control and Optimization},
volume = {55},
number = {3},
pages = {1819-1861},
}