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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

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

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

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

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

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

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

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

Existence of solutions in non-convex dynamic programming and optimal investment

Pennanen, Teemu; Perkkiö, Ari-Pekka; Rásonyi, Miklós - In: Mathematics and financial economics 11 (2017) 2, pp. 173-188

Persistent link: https://www.econbiz.de/10011900537

Multi-objective two-stage grey transportation problem using utility function with goals

Roy, Sankar Kumar; Maity, Gurupada; Weber, Gerhard-Wilhelm - In: Central European journal of operations research : CEJOR … 25 (2017) 2, pp. 417-439

Persistent link: https://www.econbiz.de/10011711489