Portfolio optimization for wealth-dependent risk preferences

DOI10.1007/s10479-009-0592-6zbMath1195.91148MaRDI QIDQ1958620

Nikolaos V. Sahinidis, Luis Miguel Rios

Publication date: 4 October 2010

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-009-0592-6

zbMATH Keywords

portfolio; nonconvex optimization; risk-seeking; risk-averse; investor

Mathematics Subject Classification ID

90C26: Nonconvex programming, global optimization

91B16: Utility theory

91G10: Portfolio theory

Related Items

Two-stage financial risk tolerance assessment using data envelopment analysis, Global optimization advances in mixed-integer nonlinear programming, MINLP, and constrained derivative-free optimization, CDFO, GLOMIQO: global mixed-integer quadratic optimizer, Stock market prediction and portfolio selection models: a survey, QPLIB: a library of quadratic programming instances, Dynamically generated cutting planes for mixed-integer quadratically constrained quadratic programs and their incorporation into GloMIQO 2

Uses Software

• BARON

Cites Work

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