More possessions, more worry

DOI10.1016/j.ejor.2016.06.022zbMath1395.91413OpenAlexW2911518319MaRDI QIDQ1751286

Haim Levy, Yusif E. Simaan

Publication date: 24 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2016.06.022

zbMATH Keywords

upper and lower boundsfinancerisk toleranceestimation errorsasset expansion

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Utility theory (91B16) Portfolio theory (91G10)

Related Items (3)

Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral \(\chi^{2}\) random variable ⋮ Asset allocation with correlation: a composite trade-off ⋮ Estimation of the global minimum variance portfolio in high dimensions

Cites Work

• Mean-variance approximations to expected utility
• The benefits of differential variance-based constraints in portfolio optimization
• The opportunity cost of mean-variance choice under estimation risk
• Boys will be Boys: Gender, Overconfidence, and Common Stock Investment
• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
• What is the Opportunity Cost of Mean-Variance Investment Strategies?

This page was built for publication: More possessions, more worry