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

From MaRDI portal
Added link to MaRDI item.
Normalize DOI.
 
(6 intermediate revisions by 5 users not shown)
Property / DOI
 
Property / DOI: 10.1007/s10479-014-1761-9 / rank
Normal rank
 
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1007/s10479-014-1761-9 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2014129541 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimization with Stochastic Dominance Constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Efficiency Analysis of Choices Involving Risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3604338 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Ordered Families of Distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Consistent Testing for Stochastic Dominance under General Sampling Schemes / rank
 
Normal rank
Property / cites work
 
Property / cites work: STOCHASTIC DOMINANCE: CONVEXITY AND SOME EFFICIENCY TESTS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conditional value at risk and related linear programming models for portfolio optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dual Stochastic Dominance and Related Mean-Risk Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the dual test for SSD efficiency With an application to momentum investment strategies / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk Aversion in the Small and in the Large / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4890894 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio construction based on stochastic dominance and target return distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Dual Theory of Choice under Risk / rank
 
Normal rank
Property / DOI
 
Property / DOI: 10.1007/S10479-014-1761-9 / rank
 
Normal rank

Latest revision as of 13:28, 9 December 2024

scientific article
Language Label Description Also known as
English
A new rank dependent utility approach to model risk averse preferences in portfolio optimization
scientific article

    Statements

    A new rank dependent utility approach to model risk averse preferences in portfolio optimization (English)
    0 references
    0 references
    0 references
    19 May 2016
    0 references
    portfolio selection
    0 references
    second-order stochastic dominance
    0 references
    risk averse investor
    0 references
    risk aversion degree
    0 references
    efficient portfolio
    0 references
    linear programming
    0 references

    Identifiers