Risk tolerance parametrics and the maximal value frontier : the value of information for risk-averse decision making with exponential utility
Year of publication: |
2015
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Authors: | Davis, Ronald E. |
Published in: |
Inventi impact: SMEs. - Bhopal : Inventi Journals, ISSN 2249-0973, ZDB-ID 2821946-6. - 2015, 1, p. 21-33
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Subject: | Risk tolerance | Least square risk tolerance estimation | Parametric programming | Exponential utility | Certainty equivalent values | Value profiles | Maximal value frontier | EVPI and CEVPI | EVSI and CEVSI | Policy region tabulation | Asset allocation tabulation | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikopräferenz | Risk attitude | Risikoaversion | Risk aversion | Risiko | Risk |
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