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

DOI10.1007/S10479-014-1761-9zbMATH Open1341.91124OpenAlexW2014129541MaRDI QIDQ286005FDOQ286005

Authors Leili Javanmardi, Yuri Lawryshyn

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 programmingportfolio selectionefficient portfoliorisk averse investorrisk aversion degreesecond-order stochastic dominance

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10)

Recommendations

• Portfolio Optimization with Risk Control by Stochastic Dominance Constraints
• Portfolio optimization with disutility-based risk measure
• Optimal investment strategies with VaR constraint under the rank dependent utility maximization
• Portfolio optimization under loss aversion
• Portfolio optimization for wealth-dependent risk preferences

Cites work

• scientific article; zbMATH DE number 920136 (Why is no real title available?)
• A second-order stochastic dominance portfolio efficiency measure
• Conditional value at risk and related linear programming models for portfolio optimization
• Consistent Testing for Stochastic Dominance under General Sampling Schemes
• Dual Stochastic Dominance and Related Mean-Risk Models
• On the dual test for SSD efficiency With an application to momentum investment strategies
• Optimization with Stochastic Dominance Constraints
• Ordered Families of Distributions
• Portfolio construction based on stochastic dominance and target return distributions
• Risk Aversion in the Small and in the Large
• Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements
• Stochastic dominance: convexity and some efficiency tests
• The Dual Theory of Choice under Risk
• The Efficiency Analysis of Choices Involving Risk

Cited in

(5)

• 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
• Novel approaches for portfolio construction using second order stochastic dominance
• Gray wolf optimization algorithm for multi-constraints second-order stochastic dominance portfolio optimization
• Option implied ambiguity and its information content: evidence from the subprime crisis

This page was built for publication: A new rank dependent utility approach to model risk averse preferences in portfolio optimization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q286005)