Portfolio selection with hyperexponential utility functions

DOI10.1007/S00291-012-0307-2MaRDI QIDQ2454355zbMATH OpenOpenAlexFDO

Authors T. Bulmuş, Süleyman Özekici

Publication date 13 June 2014

Published in OR Spectrum (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00291-012-0307-2

zbMATH Keywords

hyperexponential utility functionoptimal policyportfolio management

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
• A Genuine Rank-Dependent Generalization of the Von Neumann-Morgenstern Expected Utility Theorem
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Discrete time market with serial correlations and optimal myopic strategies
• Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
• Portfolio selection in stochastic markets with exponential utility functions
• Portfolio selection in stochastic markets with HARA utility functions
• Prospect Theory: An Analysis of Decision under Risk
• Separating marginal utility and probabilistic risk aversion
• Two-Stage Lotteries without the Reduction Axiom

Cited in

(8)

• Portfolio selection in stochastic markets with exponential utility functions
• Portfolio selection in stochastic markets with HARA utility functions
• Portfolio selection models with new negative exponential expected utilities
• Decision-making of portfolio investment with double exponential utility function
• Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows
• Exponential risk measure with application to UK asset allocation
• Decision-making of portfolio investment with linear plus double exponential utility function
• Portfolio selection and job switching with CARA utility

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