A new rank dependent utility approach to model risk averse preferences in portfolio optimization
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Publication:286005
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
linear programming; portfolio selection; efficient portfolio; risk averse investor; risk aversion degree; second-order stochastic dominance
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