A new rank dependent utility approach to model risk averse preferences in portfolio optimization (Q286005): Difference between revisions

@@ Property / DOI @@
-.1007/s10479-014-1761-9
@@ Property / DOI: 10.1007/s10479-014-1761-9 / rank @@
-Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+C90
@@ Property / Mathematics Subject Classification ID: 90C90 / rank @@
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@@ Property / zbMATH DE Number @@
+6582845
@@ Property / zbMATH DE Number: 6582845 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+portfolio selection
@@ Property / zbMATH Keywords: portfolio selection / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+second-order stochastic dominance
@@ Property / zbMATH Keywords: second-order stochastic dominance / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+risk averse investor
@@ Property / zbMATH Keywords: risk averse investor / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+risk aversion degree
@@ Property / zbMATH Keywords: risk aversion degree / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+efficient portfolio
@@ Property / zbMATH Keywords: efficient portfolio / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+linear programming
@@ Property / zbMATH Keywords: linear programming / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10479-014-1761-9
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@@ Property / OpenAlex ID @@
+W2014129541
@@ Property / OpenAlex ID: W2014129541 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimization with Stochastic Dominance Constraints
+Normal rank
@@ Property / cites work @@
+The Efficiency Analysis of Choices Involving Risk
@@ Property / cites work: The Efficiency Analysis of Choices Involving Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Q3604338
@@ Property / cites work: Q3604338 / rank @@
+Normal rank
@@ Property / cites work @@
+Ordered Families of Distributions
@@ Property / cites work: Ordered Families of Distributions / rank @@
+Normal rank
@@ Property / cites work @@
+Consistent Testing for Stochastic Dominance under General Sampling Schemes
+Normal rank
@@ Property / cites work @@
+STOCHASTIC DOMINANCE: CONVEXITY AND SOME EFFICIENCY TESTS
+Normal rank
@@ Property / cites work @@
+Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements
+Normal rank
@@ Property / cites work @@
+Conditional value at risk and related linear programming models for portfolio optimization
+Normal rank
@@ Property / cites work @@
+Dual Stochastic Dominance and Related Mean-Risk Models
+Normal rank
@@ Property / cites work @@
+On the dual test for SSD efficiency With an application to momentum investment strategies
+Normal rank
@@ Property / cites work @@
+Risk Aversion in the Small and in the Large
@@ Property / cites work: Risk Aversion in the Small and in the Large / rank @@
+Normal rank
@@ Property / cites work @@
+Q4890894
@@ Property / cites work: Q4890894 / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio construction based on stochastic dominance and target return distributions
+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
@@ Property / DOI @@
+.1007/S10479-014-1761-9
@@ Property / DOI: 10.1007/S10479-014-1761-9 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:286005