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Market Equilibrium Implied Risk Aversion and Utility
Paganopoulos, Stylianos - 2009
Using as a starting point a popular version of the utility function, we obtain a value for the risk aversion parameter …
Persistent link: https://www.econbiz.de/10013156486
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Rank-Dependent Utility Maximization Under Risk Exposure Constraint
Ding, Peizhen - 2018
risk exposure using a general law- invariant risk measure such as Value-at-Risk and tail Value-at-Risk. The analytic … control the risk exposure when he/she has not enough money to invest or the constraint is very restrictive …
Persistent link: https://www.econbiz.de/10012925718
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Hedge fund investing or mutual fund investing : an application of multi-attribute utility theory
Abraham, Rebecca - In: Theoretical economics letters 9 (2019) 4, pp. 605-632
Persistent link: https://www.econbiz.de/10012022933
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Multivariate risk aversion utility, application to ESG investments
Escobar, Marcos - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-8
Persistent link: https://www.econbiz.de/10014225740
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A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities
Liang, Zongxia; Liu, Yang; Ma, Ming; Vinoth, Rahul Pothi - In: Quantitative finance 24 (2024) 2, pp. 281-303
Persistent link: https://www.econbiz.de/10014551987
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Mean-variance versus utility maximization revisited : the case of constant relative risk aversion
Kassimatis, Konstantinos - In: International review of financial analysis 78 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10013254548
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Stability of the exponential utility maximization problem with respect to preferences
Xing, Hao - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 38-67
Persistent link: https://www.econbiz.de/10011739439
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An online portfolio selection algorithm with regret logarithmic in price variation
Hazan, Elad; Kale, Satyen - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 288-310
Persistent link: https://www.econbiz.de/10011350635
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Multi-objective optimisation of risk and business strategy in real-world supply networks in the presence of uncertainty
Petrovic, Dobrila; Kalata, Magdalena - In: Journal of the Operational Research Society 70 (2019) 11, pp. 1869-1884
Persistent link: https://www.econbiz.de/10012214827
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Portfolio choice and asset pricing under model uncertainty
Wu, Lue - 2007
Persistent link: https://www.econbiz.de/10003812033