Approximate portfolio analysis

DOI10.1016/S0377-2217(98)00363-4MaRDI QIDQ1806756zbMATH OpenFDO

Authors L. Liu

Publication date 8 November 1999

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0377-2217(98)00363-4

zbMATH Keywords

coarse utilitymean-variance analysisportfolio selectionrisk attitudes

Mathematics Subject Classification ID

Recommendations

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Cites work

• A measurement axiomatization for an essentially multiplicative representation of two factors
• A theory of coarse utility
• Advances in prospect theory: cumulative representation of uncertainty
• scientific article; zbMATH DE number 920136 (Why is no real title available?)
• scientific article; zbMATH DE number 3342731 (Why is no real title available?)
• scientific article; zbMATH DE number 3090543 (Why is no real title available?)
• Portfolio Analysis in a Stable Paretian Market
• Prospect Theory: An Analysis of Decision under Risk
• Rank- and sign-dependent linear utility models for finite first-order gambles
• Risk aversion in the theory of expected utility with rank dependent probabilities
• Risk, Return, Skewness and Preference
• The Dual Theory of Choice under Risk
• The Ordering of Portfolios in Terms of Mean and Variance

Cited in

(12)

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• A new foundation for the mean-variance analysis
• Portfolio decision analysis with a generalized balance approach
• Decision support models in climate policy
• Portfolio analysis with general commission
• Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets
• PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES
• Generalized concavity of a function in portfolio theory
• PORTFOLIO RHO-PRESENTATIVITY
• scientific article; zbMATH DE number 6766521 (Why is no real title available?)
• Quantile approximations in auto-regressive portfolio models
• Multi-objective stochastic programming for portfolio selection

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