Non-concave utility optimization with portfolio bounds

Min Dai, Steven Kou, Shuaijie Qian, Xiangwei Wan

Research output: Journal article publication › Journal article › Academic research › peer-review

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@article{00878226ba774ef5af2a017b644bc229,

title = "Non-concave utility optimization with portfolio bounds",

author = "Min Dai and Steven Kou and Shuaijie Qian and Xiangwei Wan",

year = "2021",

month = dec,

day = "29",

doi = "10.1287/mnsc.2021.4228",

language = "English",

pages = "1--18",

journal = "Management Science",

issn = "0025-1909",

publisher = "INFORMS Institute for Operations Research and the Management Sciences",

}

TY - JOUR

T1 - Non-concave utility optimization with portfolio bounds

AU - Dai, Min

AU - Kou, Steven

AU - Qian, Shuaijie

AU - Wan, Xiangwei

PY - 2021/12/29

Y1 - 2021/12/29

UR - https://doi.org/10.1287/mnsc.2021.4228

U2 - 10.1287/mnsc.2021.4228

DO - 10.1287/mnsc.2021.4228

M3 - Journal article

SN - 0025-1909

SP - 1

EP - 18

JO - Management Science

JF - Management Science

ER -