Dynamic safety first expected utility model
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Publication:724069
DOI10.1016/j.ejor.2018.05.002zbMath1403.91142OpenAlexW2800229032WikidataQ129871451 ScholiaQ129871451MaRDI QIDQ724069
Jing Zhao, Mei Choi Chiu, Hoi Ying Wong
Publication date: 25 July 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2018.05.002
Utility theory (91B16) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
Related Items (2)
Portfolio optimization under safety first expected utility with nonlinear probability distortion ⋮ Portfolio choice in the model of expected utility with a safety-first component
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