Objective comparisons of the optimal portfolios corresponding to different utility functions
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Publication:1042183
DOI10.1016/j.ejor.2008.11.044zbMath1176.90637OpenAlexW2028791595MaRDI QIDQ1042183
Marvin D. Troutt, Bosco Wing-Tong Yu, Wan-Kai Pang, Shui-Hung Hou
Publication date: 7 December 2009
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2008.11.044
Related Items (7)
Portfolio insurance: gap risk under conditional multiples ⋮ On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability ⋮ Portfolio optimization with disutility-based risk measure ⋮ A multi-stage financial hedging approach for the procurement of manufacturing materials ⋮ Multi-choice goal programming with utility functions ⋮ Portfolio optimization with irreversible long-term investments in renewable energy under policy risk: a mixed-integer multistage stochastic model and a moving-horizon approach ⋮ On the equivalence of quadratic optimization problems commonly used in portfolio theory
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