Markowitz with regret
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Recommendations
- Regret theory and equilibrium asset prices
- Regret, portfolio choice, and guarantees in defined contribution schemes
- An expected regret minimization portfolio selection model
- Aversion to risk of regret and preference for positively skewed risks
- The worst-case discounted regret portfolio optimization problem
Cites work
- A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
- An axiomatic foundation for regret theory
- An Empirical Portfolio Perspective on Option Pricing Anomalies*
- Consistency of mean-variance analysis and expected utility analysis. A complete characterization
- Discrete-time behavioral portfolio selection under cumulative prospect theory
- Gram-Charlier densities.
- scientific article; zbMATH DE number 51121 (Why is no real title available?)
- Options and structured products in behavioral portfolios
- Regret in Decision Making under Uncertainty
- Regret theory: a new foundation
- Regret, portfolio choice, and guarantees in defined contribution schemes
- Robust portfolio selection under downside risk measures
Cited in
(8)- Regret theory and equilibrium asset prices
- Hope, fear, and aspirations
- Portfolio optimization with private equity funds considering regret aversion
- Regret-aversion over different maturities: application to energy futures markets
- The demand for hedging of oil producers: a tale of risk and regret
- Multi-period fuzzy portfolio selection model with preference-regret criterion
- Regret, portfolio choice, and guarantees in defined contribution schemes
- Optimal allocation between bank loans and treasuries with regret
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