Markowitz with regret (Q2002638)

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Language	Label	Description	Also known as
English	Markowitz with regret	scientific article

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scholarly article

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Markowitz with regret (English)

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zbMATH Open document ID

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10.1016/j.jedc.2018.09.012

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Laura-Chloé Kuntz

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Journal of Economic Dynamics \& Control

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publication date

12 July 2019

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Mathematics Subject Classification ID

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zbMATH DE Number

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zbMATH Keywords

portfolio selection

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regret aversion

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regret risk

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jedc.2018.09.012

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Regret in Decision Making under Uncertainty

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Consistency of mean-variance analysis and expected utility analysis. A complete characterization

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Options and structured products in behavioral portfolios

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A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms

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Regret theory: a new foundation

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An Empirical Portfolio Perspective on Option Pricing Anomalies*

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Gram-Charlier densities.

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Regret, portfolio choice, and guarantees in defined contribution schemes

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Discrete-time behavioral portfolio selection under cumulative prospect theory

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An axiomatic foundation for regret theory

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Robust portfolio selection under downside risk measures

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Sitelinks

Mathematics(1 entry)

mardi Publication:2002638

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