Friction and Decision Rules in Portfolio Decision Analysis

DOI10.1287/deca.2020.0421OpenAlexW3135508245MaRDI QIDQ5868924

Gary J. Summers

Publication date: 26 September 2022

Published in: Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/deca.2020.0421

zbMATH Keywords

decision rulesmodelingfrictionportfolio optimizationoptimizer's curse

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Uses Software

• BayesDA

Cites Work

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• Components of Portfolio Value of Information
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• Limits for the Precision and Value of Information from Dependent Sources
• The Reconciliation of Decision Analyses
• Uncertainty and Imprecision: Modelling and Analysis
• Statistical Issues in Drug Development

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