Portfolio theory for the recourse certainty equivalent maximizing investor
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Publication:1176861
DOI10.1007/BF02204865zbMath0795.90002MaRDI QIDQ1176861
Publication date: 25 June 1992
Published in: Annals of Operations Research (Search for Journal in Brave)
Applications of mathematical programming (90C90) Stochastic programming (90C15) Utility theory (91B16) Portfolio theory (91G10)
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Cites Work
- A recourse certainty equivalent for decisions under uncertainty
- Mutual fund separation in financial theory - the separating distributions
- Chance-Constrained Programming
- Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
- Portfolio Theory for Independent Assets
- Implications of constant risk aversion
- Optimal Portfolios with One Safe and One Risky Asset: Effects of Changes in Rate of Return and Risk
- The Dual Theory of Choice under Risk
- Risk Aversion in the Small and in the Large
- Convex Analysis