The generalized harmonic mean and a portfolio problem with dependent assets

DOI10.1023/A:1004918708964zbMath0893.90014OpenAlexW1545871096MaRDI QIDQ1367737

Masaaki Kijima

Publication date: 22 July 1998

Published in: Theory and Decision (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1004918708964

zbMATH Keywords

stochastic dominanceHARA utility functiongeneralized harmonic meanIIA propertyindependent assetssingle period portfolio problem

Mathematics Subject Classification ID

Related Items (3)

The Use of Archimedean Copulas to Model Portfolio Allocations ⋮ On the nature of certainty equivalent functionals ⋮ Ordering optimal proportions in the asset allocation problem with dependent default risks

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