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Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
Källblad, Sigrid - In: Finance and stochastics 21 (2017) 2, pp. 397-425
Persistent link: https://www.econbiz.de/10011944387
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Portfolio optimization with disutility-based risk measure
Fulga, Cristinca - In: European journal of operational research : EJOR 251 (2016) 2, pp. 541-553
Persistent link: https://www.econbiz.de/10011444347
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Optimal portfolio in the presence of transaction costs and convex risk measure
Doctor, O.; Offen, E. R.; Lungu, E. M. - In: International journal of financial engineering 4 (2017) 4, pp. 1-15
Persistent link: https://www.econbiz.de/10011807095
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A general framework for portfolio theory : part I: theory and various models
Maier-Paape, Stanislaus; Zhu, Qiji Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-35
of utility and risk. This is a rather general pattern. The modern portfolio theory of Markowitz (1959) and the capital …Utility and risk are two often competing measurements on the investment success. We show that efficient trade … market pricing model Sharpe (1964), are special cases of our general framework when the risk measure is taken to be the …
Persistent link: https://www.econbiz.de/10011867378
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Linear tests for decreasing absolute risk aversion stochastic dominance
Post, Thierry; Fang, Yi; Kopa, Miloš - In: Management science : journal of the Institute for … 61 (2015) 7, pp. 1615-1629
Persistent link: https://www.econbiz.de/10011304114
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On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang - In: European journal of operational research : EJOR 246 (2015) 2, pp. 528-542
Persistent link: https://www.econbiz.de/10011338116
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Risk-sensitive and mean variance optimality in Markov decision processes
Sladký, Karel - In: Czech economic review : acta Universitatis Carolinae … 7 (2013) 3, pp. 146-161
Persistent link: https://www.econbiz.de/10010341117
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Geometric compromise programming : application in portfolio selection
Salas-Molina, Francisco; Pla-Santamaria, David; … - In: International transactions in operational research : a … 30 (2023) 5, pp. 2571-2594
Persistent link: https://www.econbiz.de/10014260119
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Robust decision making using a general utility set
Hu, Jian; Bansal, Manish; Mehrotra, Sanjay - In: European journal of operational research : EJOR 269 (2018) 2, pp. 699-714
Persistent link: https://www.econbiz.de/10011864436
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Robust utility maximizing strategies under model uncertainty and their convergence
Sass, Jörn; Westphal, Dorothee - In: Mathematics and financial economics 16 (2022) 2, pp. 367-397
Persistent link: https://www.econbiz.de/10013167940