We propose a numerical optimization approach that can be used to solve portfolio selection problems including several assets and involving objective functions from cumulative prospect theory (CPT).
A method is developed for constructing a confidence band for a cumulative distribution function with known functional form. The band is derived using the maximum absolute difference between the true ...
n is the sample size. x is the point of interest; that is, the PROBMED function calculates the probability that the median is less than or equal to x. The PROBMED function computes the probability ...
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