Portfolio selection: a linear approach with dual expected utility

DOI10.1016/J.AMC.2005.11.141MaRDI QIDQ849753zbMATH OpenOpenAlexFDO

Authors Marisa Cenci, Francesco Filippini

Publication date 31 October 2006

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2005.11.141

zbMATH Keywords

dual expected utilitylinear programmingportfolio selection

Mathematics Subject Classification ID

Linear programming (90C05) Portfolio theory (91G10)

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Cites work

• A mean-absolute deviation-skewness portfolio optimization model
• Advances in prospect theory: cumulative representation of uncertainty
• Heuristic algorithms for the portfolio selection problem with minimum transaction lots
• scientific article; zbMATH DE number 2061975 (Why is no real title available?)
• Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine
• Ordering risks: expected utility theory versus Yaari's dual theory of risk
• Portfolio optimization under lower partial risk measures
• Prospect Theory: An Analysis of Decision under Risk
• Recent developments in modelling preferences under risk
• Risk, ambiguity and the Savage axioms
• Selecting portfolios with fixed costs and minimum transaction lots
• Semi-absolute deviation rule for mutual funds portfolio selection
• The Dual Theory of Choice under Risk
• The optimal portfolio problem with coherent risk measure constraints.

Cited in

(6)

• Single-period Markowitz portfolio selection, performance gauging, and duality: a variation on the Luenberger shortage function
• A test on the location of the tangency portfolio on the set of feasible portfolios
• Portfolio selection models with new negative exponential expected utilities
• Evaluating Portfolio Policies: A Duality Approach
• Dynamic Portfolio Selection in a Dual Expected Utility Theory Framework
• Dynamic Portfolio Allocation, the Dual Theory of Choice and Probability Distortion Functions

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