Utility Theory, Capital Asset Allocation, and Markowitz Portfolio-Selection Model

DOI10.1142/9789811202391_0080zbMATH Open1454.91222OpenAlexW3080267645MaRDI QIDQ5139510

Cheng-Few Lee

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0080

zbMATH Keywords

utility functionrisk aversionutility theoryshort sellingasset allocationindifference curvelinear utility functionconcave utility functionLagrangian objective function

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

This page was built for publication: Utility Theory, Capital Asset Allocation, and Markowitz Portfolio-Selection Model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5139510)