Sarah Drewes

University of California, Berkeley, Industrial Engineering and Operations Research

Berkeley, CA 94720

United States

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Scholarly Papers (1)

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Computing Discrete Expected Utility Maximizing Portfolios

Posted: 23 Aug 2010 Last Revised: 31 Oct 2014
Sarah Drewes and Sebastian Pokutta
University of California, Berkeley, Industrial Engineering and Operations Research and Georgia Institute of Technology

Abstract:

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expected logarithmic utility, optimization, SQP, outer approximation, kelly criterion, geometric mean maximization, discrete decisions