Černý, Aleš; Maccheroni, Fabio; Marinacci, Massimo; … - In: Journal of Mathematical Economics 48 (2012) 6, pp. 386-395
We report a surprising link between optimal portfolios generated by a special type of variational preferences called divergence preferences (see Maccheroni et al., 2006) and optimal portfolios generated by classical expected utility. As a special case, we connect optimization of truncated...