Comparison of Alternative Utility Functions in Portfolio Selection Problems

DOI10.1287/MNSC.29.11.1257MaRDI QIDQ3040871zbMATH OpenOpenAlexFDO

Authors J. G. Kallberg, William T. Ziemba

Publication date 1983

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.29.11.1257

zbMATH Keywords

alternative utility functionsoptimal portfolio selectionrisk aversion indexrisky investment portfolioRubinstein's measure of global risk aversion

Mathematics Subject Classification ID

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

Cited in

(36)

• Standardized versus customized portfolio: a compensating variation approach
• Use of stochastic and mathematical programming in portfolio theory and practice
• Multivariate risk premiums
• Computing efficient frontiers using estimated parameters
• Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities
• Univariate and multivariate measures of risk aversion and risk premiums
• A direct test for the mean variance efficiency of a portfolio.
• A Stein type lemma for the multivariate generalized hyperbolic distribution
• Communication and personal selection of pension saver's financial risk
• Post-tax optimization with stochastic programming
• Models and model value in stochastic programming
• Mean-variance-skewness efficient surfaces, Stein's lemma and the multivariate extended skew-Student distribution
• Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds
• Portfolio selection from multiple benchmarks: a goal programming approach to an actual case
• Time to wealth goals in capital accumulation
• Generalized concavity of a function in portfolio theory
• HYPER SENSITIVITY ANALYSIS OF PORTFOLIO OPTIMIZATION PROBLEMS
• Mean--variance efficient portfolios with many assets: 50\% short
• Extensions of Stein's Lemma for the Skew-Normal Distribution
• Mean‐Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection
• Stochastic goal programming: A mean-variance approach
• Analyzing legal regulations in the Norwegian life insurance business using a multistage asset-liability management model
• A note on portfolio selection with restrictions on leverage
• A compromise solution to mutual funds portfolio selection with transaction costs
• Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
• Selecting Portfolios Given Multiple Eurostoxx-Based Uncertainty Scenarios: A Stochastic Goal Programming Approach from Fuzzy Betas
• Portfolio Selection with Multiple Time Horizons: A Mean Variance—Stochastic Goal Programming Approach
• Static Markowitz mean-variance portfolio selection model with long-term bonds
• Validity of CARA function under expected utility
• A numerical evaluation of meta-heuristic techniques in portfolio optimisation
• Portfolio selection under strict uncertainty: a multi-criteria methodology and its application to the Frankfurt and Vienna stock exchanges
• A computational intelligence method for solving a class of portfolio optimization problems
• Stochastic network optimization models for investment planning
• A general framework for multistage mean-variance post-tax optimization
• Discrete time mean-variance analysis with singular second moment matrices and an exogenous liability
• Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution

This page was built for publication: Comparison of Alternative Utility Functions in Portfolio Selection Problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3040871)