Portfolio optimization for wealth-dependent risk preferences

DOI10.1007/s10479-009-0592-6zbMath1195.91148OpenAlexW2032702830MaRDI QIDQ1958620

Nikolaos V. Sahinidis, Luis Miguel Rios

Publication date: 4 October 2010

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

Full work available at URL: https://doi.org/10.1007/s10479-009-0592-6

zbMATH Keywords

portfoliononconvex optimizationrisk-seekingrisk-averseinvestor

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Utility theory (91B16) Portfolio theory (91G10)

Related Items

Two-stage financial risk tolerance assessment using data envelopment analysis, Global optimization advances in mixed-integer nonlinear programming, MINLP, and constrained derivative-free optimization, CDFO, GLOMIQO: global mixed-integer quadratic optimizer, Dynamically generated cutting planes for mixed-integer quadratically constrained quadratic programs and their incorporation into GloMIQO 2, QPLIB: a library of quadratic programming instances, Stock market prediction and portfolio selection models: a survey

Uses Software

• BARON

Cites Work

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