Expected utility theory, optimal portfolios, and polyhedral coherent risk measures
type: Item
instance of: scholarly article
title: Expected utility theory, optimal portfolios, and polyhedral coherent risk measures
zbMATH Open document ID: 1327.91060
author: V. S. Kirilyuk
published in: Cybernetics and Systems Analysis
publication date: 2015-11-16T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 90C05
zbMATH DE Number: 6509153
zbMATH Keywords: expected utility theory
zbMATH Keywords: polyhedral coherent risk measure
zbMATH Keywords: conditional value-at-risk
zbMATH Keywords: spectral risk measure
zbMATH Keywords: portfolio optimization
MaRDI profile type: Publication
full work available at URL: s10559-014-9678-5
OpenAlex ID: W2013961361
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DOI: 10.1007/S10559-014-9678-5
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description: scientific article; zbMATH DE number 6509153