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Portfolio Optimization with Optimal Expected Utility Risk Measures
Fink, Holger - 2020
The purpose of this article is to evaluate optimal expected utility risk measures (OEU) in a risk- constrained portfolio optimization context where the expected portfolio return is maximized. We compare the portfolio optimization with OEU constraint to a portfolio selection model using value at...
Persistent link: https://www.econbiz.de/10012848752
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Optimal order quantity by maximising expected utility for the newsboy model
Ota, Mahadev; Srinivasan, S.; Nandakumar, C. D. - In: International journal of procurement management 12 (2019) 4, pp. 410-424
Persistent link: https://www.econbiz.de/10012138469
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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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Ambiguity in risk preferences in robust stochastic optimization
Haskell, William B.; Fu, Lunce; Dessouky, Maged - In: European journal of operational research : EJOR 254 (2016) 1, pp. 214-225
Persistent link: https://www.econbiz.de/10011503281
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Dual representation of the cost of designing a portfolio satisfying multiple risk constraints
Bouveret, Géraldine - In: Applied mathematical finance 26 (2019) 3, pp. 222-256
Persistent link: https://www.econbiz.de/10012210285
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Risk, uncertainty and the agricultural firm
Moss, Charles B. - 2010
Persistent link: https://www.econbiz.de/10003875592
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Aggregate investor preferences and beliefs : a comment
Post, Thierry; Kopa, Miloš - In: Journal of empirical finance 23 (2013), pp. 187-190
Persistent link: https://www.econbiz.de/10010221754
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Risk, Uncertainty and the Agricultural Firm
Moss, Charles - 2010
model, real options theory, and state-contingent production relationships. Risk, Uncertainty, and the Agricultural Firm …
Persistent link: https://www.econbiz.de/10013143571
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Expected utility optimization with convolutional stochastically ordered returns
Gauchon, Romain; Barigou, Karim - In: Risks : open access journal 12 (2024) 6, pp. 1-19
Expected utility theory is critical for modeling rational decision making under uncertainty, guiding economic agents as …
Persistent link: https://www.econbiz.de/10014636719