Optimal portfolio with vector expected utility
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Publication:2453828
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Cites work
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- A generalization of Pratt-Arrow measure to nonexpected-utility preferences and inseparable probability and utility
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- Alpha as ambiguity: robust mean-variance portfolio analysis
- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
- Ambiguity made precise: A comparative foundation
- Ambiguity, Risk, and Asset Returns in Continuous Time
- Differentiating ambiguity and ambiguity attitude
- First order versus second order risk aversion
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- Portfolio choices and asset prices: the comparative statics of ambiguity aversion
- PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES
- Risk Aversion in the Small and in the Large
- Risk, ambiguity and the Savage axioms
- Stochastic finance. An introduction in discrete time.
- Subjective Probability and Expected Utility without Additivity
- Uncertainty aversion with second-order utilities and probabilities
- Vector Expected Utility and Attitudes Toward Variation
Cited in
(7)- Portfolio allocation problems between risky and ambiguous assets
- On booms that never bust: ambiguity in experimental asset markets with bubbles
- Alpha as ambiguity: robust mean-variance portfolio analysis
- Optimal Portfolio Choice Based on α-MEU Under Ambiguity
- Vector Expected Utility and Attitudes Toward Variation
- Portfolio choices: comparative statics under both expected return and volatility uncertainty
- Portfolio selections under mean-variance preference with multiple priors for means and variances
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