Expected utility approximation and portfolio optimisation
Year of publication: |
2020
|
---|---|
Authors: | Fahrenwaldt, Matthias ; Sun, Chaofan |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 93.2020, p. 301-314
|
Subject: | Asymptotic analysis | Expected utility | Mean-variance optimisation | Portfolio selection | Power utility | Theorie | Theory | Portfolio-Management | Erwartungsnutzen | Mathematische Optimierung | Mathematical programming | Nutzen | Utility |
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