Portfolio selection with hyperexponential utility functions

DOI10.1007/s00291-012-0307-2zbMath1290.91145OpenAlexW2025674453MaRDI QIDQ2454355

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

portfolio managementoptimal policyhyperexponential utility function

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (1)

Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows

Cites Work

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

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