Expected utility optimization with convolutional stochastically ordered returns
Year of publication: |
2024
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---|---|
Authors: | Gauchon, Romain ; Barigou, Karim |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 12.2024, 6, Art.-No. 95, p. 1-19
|
Subject: | expected utility | optimization | stochastic orders | Theorie | Theory | Erwartungsnutzen | Expected utility | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Erwartungsbildung | Expectation formation | Wahrscheinlichkeitsrechnung | Probability theory | Portfolio-Management | Portfolio selection |
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