Towards the determination of utility preference from optimal portfolio selections

DOI10.1080/13504860110039801zbMath1064.91034OpenAlexW2002034616MaRDI QIDQ4541599

Sutee Mokkhavesa, Colin Atkinson

Publication date: 5 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860110039801

zbMATH Keywords

revealed preferenceutility preference

Mathematics Subject Classification ID

Utility theory (91B16) Individual preferences (91B08) Portfolio theory (91G10)

Related Items (2)

Unnamed Item ⋮ Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis

Cites Work

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• PORTFOLIO MANAGEMENT WITH TRANSACTION COSTS: AN ASYMPTOTIC ANALYSIS OF THE MORTON AND PLISKA MODEL
• Portfolio management with transaction costs
• Portfolio Selection with Transaction Costs

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