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Constructing and applying objective functions : proceedings of the Fourth International Conference on Econometric Decision Models Constructing and Applying Objective Functions, Uni...
Tanguiane, Andranick S. (ed.); Gruber, Josef (contributor) - 2002
Persistent link: https://www.econbiz.de/10013278108
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A logarithmic goal programming approach to develop the utility function for railway travel
Dutta, Goutam; Ghosh, Priyanko; Wanchoo, Arushi - 2013
Persistent link: https://www.econbiz.de/10010192828
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One-switch conditions for multiattribute utility functions
Abbas, Ali E.; Bell, David E. - In: Operations research 60 (2012) 5, pp. 1199-1212
Persistent link: https://www.econbiz.de/10010219822
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A numerical solution of optimal portfolio selection problem with general utility functions
Ma, Guiyuan; Zhu, Song-Ping; Kang, Boda - In: Computational economics 55 (2020) 3, pp. 957-981
Persistent link: https://www.econbiz.de/10012223689
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Good approximation of exponential utility function for optimal futures hedging
Guo, Xu; Lien, Da-hsiang Donald; Wong, Wing Keung - In: Journal of mathematical finance 6 (2016) 3, pp. 457-463
Persistent link: https://www.econbiz.de/10011583581
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Consumption optimization for recursive utility in a jump-diffusion model
Antonelli, Fabio; Mancini, Carlo - In: Decisions in economics and finance : DEF ; a journal of … 39 (2016) 2, pp. 293-310
Persistent link: https://www.econbiz.de/10011642633
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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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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. As a result, the growth optimal portfolio theory Lintner (1965) and the leverage space portfolio theory Vince (2009 …Utility and risk are two often competing measurements on the investment success. We show that efficient trade …
Persistent link: https://www.econbiz.de/10011867378