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- W3125946052 abstract "We consider the problem of minimizing capital at risk in the Black-Scholes setting. The portfolio problem is studied given the possibility that a correlation constraint between the portfolio and a financial index is imposed. The optimal portfolio is obtained in closed form. The effects of the correlation constraint are explored; it turns out that this portfolio constraint leads to a more diversified portfolio." @default.
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- W3125946052 date "2014-12-01" @default.
- W3125946052 modified "2023-09-27" @default.
- W3125946052 title "Risk minimization and portfolio diversification" @default.
- W3125946052 hasPublicationYear "2014" @default.
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