Expected return -- expected loss approach to optimal portfolio investment

DOI10.1007/s11238-022-09870-3zbMath1505.91345OpenAlexW4212829684MaRDI QIDQ2112302

Pavlo R. Blavatskyy

Publication date: 10 January 2023

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

Full work available at URL: https://doi.org/10.1007/s11238-022-09870-3

zbMATH Keywords

decision theoryexpected lossequity premium puzzlefirst-order stochastic dominanceportfolio investment

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Portfolio theory (91G10)

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