Short communication: utility-based acceptability indices

DOI10.1137/24m1632486zbMATH Open1544.91136MaRDI QIDQ6557365

Miklós Rásonyi, Marcin Pitera

Publication date: 18 June 2024

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

zbMATH Keywords

certainty equivalentperformance measurerisk aversionrisk sensitive portfolioacceptability indexmean variance optimizationentropic utilityscaled utility

Mathematics Subject Classification ID

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

Cites Work

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