A new rank dependent utility approach to model risk averse preferences in portfolio optimization
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Publication:286005
DOI10.1007/S10479-014-1761-9zbMATH Open1341.91124OpenAlexW2014129541MaRDI QIDQ286005FDOQ286005
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 programmingportfolio selectionefficient portfoliorisk averse investorrisk aversion degreesecond-order stochastic dominance
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Cited In (5)
- Option implied ambiguity and its information content: evidence from the subprime crisis
- Novel approaches for portfolio construction using second order stochastic dominance
- Gray wolf optimization algorithm for multi-constraints second-order stochastic dominance portfolio optimization
- Four notions of mean-preserving increase in risk, risk attitudes and applications to the rank-dependent expected utility model
- Risk preference and indirect utility in portfolio-choice problems
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