A new rank dependent utility approach to model risk averse preferences in portfolio optimization

DOI10.1007/s10479-014-1761-9zbMath1341.91124MaRDI QIDQ286005

Yuri Lawryshyn, Leili Javanmardi

Publication date: 19 May 2016

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-014-1761-9

zbMATH Keywords

linear programming; portfolio selection; efficient portfolio; risk averse investor; risk aversion degree; second-order stochastic dominance

Mathematics Subject Classification ID

90C90: Applications of mathematical programming

91G10: Portfolio theory

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