A Utility Equivalence Theorem for Concave Functions

DOI10.1007/978-3-319-07557-0_11MaRDI QIDQ5418990zbMATH OpenOpenAlexFDO

Authors Anand Bhalgat, Sanjeev Khanna

Publication date 2 June 2014

Published in Integer Programming and Combinatorial Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-07557-0_11

zbMATH Keywords

asset allocationnon-decreasing concave utility functionrisk-averse portfolio allocationutility equivalence theorem

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

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