Portfolio theory for the recourse certainty equivalent maximizing investor

DOI10.1007/BF02204865zbMath0795.90002MaRDI QIDQ1176861

Aharon Ben-Tal, Marc Teboulle

Publication date: 25 June 1992

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

dualityexpected utilityrisk aversionportfolio selectionrecourse certainty equivalent

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15) Utility theory (91B16) Portfolio theory (91G10)

Related Items

Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models, On the use of optimization models for portfolio selection: A review and some computational results, Duality and equilibrium prices in economics of uncertainty, A chance constrained recourse approach for the portfolio selection problem, A Recourse Goal Programming Approach for the Portfolio Selection Problem, Large deviations bounds for estimating conditional value-at-risk, AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT, Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity

Cites Work

• A recourse certainty equivalent for decisions under uncertainty
• Mutual fund separation in financial theory - the separating distributions
• Chance-Constrained Programming
• Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
• Portfolio Theory for Independent Assets
• Implications of constant risk aversion
• Optimal Portfolios with One Safe and One Risky Asset: Effects of Changes in Rate of Return and Risk
• The Dual Theory of Choice under Risk
• Risk Aversion in the Small and in the Large
• Convex Analysis