Short communication: utility-based acceptability indices
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Publication:6557365
DOI10.1137/24m1632486zbMATH Open1544.91136MaRDI QIDQ6557365
Publication date: 18 June 2024
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
certainty equivalentperformance measurerisk aversionrisk sensitive portfolioacceptability indexmean variance optimizationentropic utilityscaled utility
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