Objective comparisons of the optimal portfolios corresponding to different utility functions
type: Item
instance of: scholarly article
title: Objective comparisons of the optimal portfolios corresponding to different utility functions
zbMATH Open document ID: 1176.90637
author: Bosco Wing-Tong Yu
author: Wankai Pang
author: Marvin D. Troutt
author: Shui-Hung Hou
published in: European Journal of Operational Research
publication date: 2009-12-07T00:00:00Z
Mathematics Subject Classification ID: 90C46
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 5642901
zbMATH Keywords: utility function
zbMATH Keywords: optimal portfolio
zbMATH Keywords: martingale measure
zbMATH Keywords: integration representation
zbMATH Keywords: Brownian martingales
MaRDI profile type: Publication
full work available at URL: j.ejor.2008.11.044
OpenAlex ID: W2028791595
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DOI: 10.1016/J.EJOR.2008.11.044
description: scientific article; zbMATH DE number 5642901