논문KCI 등재
SHORTFALL RISK MINIMIZATION: THE DUAL APPROACH
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We find the solution minimizing the shortfall risk by using the Lagrange-multiplier method. The conventional duality method in the expected utility maxi-mization problem is used and we get the same results as in the paper [21].
Abstract
We find the solution minimizing the shortfall risk by using the Lagrange-multiplier method. The conventional duality method in the expected utility maxi-mization problem is used and we get the same results as in the paper [21].
참고문헌 (23)
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