Taylor series approximations to expected utility and optimal portfolio choice

DOI10.1007/s11579-011-0051-4zbMath1282.91301OpenAlexW2171916535MaRDI QIDQ1935728

Lorenzo Garlappi, Georgios Skoulakis

Publication date: 19 February 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-011-0051-4

zbMATH Keywords

approximationnumerical solutionTaylor expansionexpected utilityportfolio choice

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Utility theory (91B16) Portfolio theory (91G10)

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