Robust portfolio optimization with a generalized expected utility model under ambiguity (Q665830): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10436-007-0082-2
+Normal rank
@@ Property / OpenAlex ID @@
+W1987144782
@@ Property / OpenAlex ID: W1987144782 / rank @@
+Normal rank
@@ Property / cites work @@
+Finding a maximum skewness portfolio -- a general solution to three-moments portfolio choice
+Normal rank
@@ Property / cites work @@
+Prospect Theory and Asset Prices
@@ Property / cites work: Prospect Theory and Asset Prices / rank @@
+Normal rank
@@ Property / cites work @@
+Choices under ambiguity with familiar and unfamiliar outcomes
+Normal rank
@@ Property / cites work @@
+Myopic Loss Aversion and the Equity Premium Puzzle
+Normal rank
@@ Property / cites work @@
+Computing efficient frontiers using estimated parameters
+Normal rank
@@ Property / cites work @@
+Ambiguity, Risk, and Asset Returns in Continuous Time
+Normal rank
@@ Property / cites work @@
+Alternative models for stock price dynamics.
@@ Property / cites work: Alternative models for stock price dynamics. / rank @@
+Normal rank
@@ Property / cites work @@
+A minimax portfolio selection strategy with equilibrium
+Normal rank
@@ Property / cites work @@
+Recursive multiple-priors.
@@ Property / cites work: Recursive multiple-priors. / rank @@
+Normal rank
@@ Property / cites work @@
+Intertemporal Asset Pricing under Knightian Uncertainty
+Normal rank
@@ Property / cites work @@
+Minimax Theorems
@@ Property / cites work: Minimax Theorems / rank @@
+Normal rank
@@ Property / cites work @@
+Measuring the utility of losses by means of the tradeoff method
+Normal rank
@@ Property / cites work @@
+Stochastic finance. An introduction in discrete time
+Normal rank
@@ Property / cites work @@
+Solving Bicriterion Mathematical Programs
@@ Property / cites work: Solving Bicriterion Mathematical Programs / rank @@
+Normal rank
@@ Property / cites work @@
+Maxmin expected utility with non-unique prior
@@ Property / cites work: Maxmin expected utility with non-unique prior / rank @@
+Normal rank
@@ Property / cites work @@
+Robust Portfolio Selection Problems
@@ Property / cites work: Robust Portfolio Selection Problems / rank @@
+Normal rank
@@ Property / cites work @@
+Robust utility maximization for complete and incomplete markets
+Normal rank
@@ Property / cites work @@
+An interior-point method for a class of saddle-point problems
+Normal rank
@@ Property / cites work @@
+Large Sample Properties of Generalized Method of Moments Estimators
+Normal rank
@@ Property / cites work @@
+EXISTENCE OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN THE MEAN-VARIANCE CAPITAL MARKET
+Normal rank
@@ Property / cites work @@
+Uncertainty Aversion with Second-Order Utilities and Probabilities
+Normal rank
@@ Property / cites work @@
+Q5844986
@@ Property / cites work: Q5844986 / rank @@
+Normal rank
@@ Property / cites work @@
+Robust Mean-Covariance Solutions for Stochastic Optimization
+Normal rank
@@ Property / cites work @@
+Q3154984
@@ Property / cites work: Q3154984 / rank @@
+Normal rank
@@ Property / cites work @@
+Cumulative prospect theory and the St. Petersburg paradox
+Normal rank
@@ Property / cites work @@
+Optimal investments for risk- and ambiguity-averse preferences: a duality approach
+Normal rank
@@ Property / cites work @@
+Subjective Probability and Expected Utility without Additivity
+Normal rank
@@ Property / cites work @@
+Q5290921
@@ Property / cites work: Q5290921 / rank @@
+Normal rank
@@ Property / cites work @@
+Cumulative prospect theory's functional menagerie
@@ Property / cites work: Cumulative prospect theory's functional menagerie / rank @@
+Normal rank
@@ Property / cites work @@
+Worst case model risk management
@@ Property / cites work: Worst case model risk management / rank @@
+Normal rank
@@ Property / cites work @@
+Advances in prospect theory: cumulative representation of uncertainty
+Normal rank
@@ Property / cites work @@
+The Dual Theory of Choice under Risk
@@ Property / cites work: The Dual Theory of Choice under Risk / rank @@
+Normal rank