Comparison of Alternative Utility Functions in Portfolio Selection Problems
From MaRDI portal
Publication:3040871
DOI10.1287/mnsc.29.11.1257zbMath0526.90010OpenAlexW2133807035MaRDI QIDQ3040871
J. G. Kallberg, William T. Ziemba
Publication date: 1983
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/mnsc.29.11.1257
optimal portfolio selectionrisk aversion indexalternative utility functionsrisky investment portfolioRubinstein's measure of global risk aversion
Related Items (35)
Post-tax optimization with stochastic programming ⋮ Multivariate risk premiums ⋮ A numerical evaluation of meta-heuristic techniques in portfolio optimisation ⋮ Models and model value in stochastic programming ⋮ Portfolio selection under strict uncertainty: a multi-criteria methodology and its application to the Frankfurt and Vienna stock exchanges ⋮ Complex portfolio selection via convex mixed‐integer quadratic programming: a survey ⋮ A computational intelligence method for solving a class of portfolio optimization problems ⋮ Selecting Portfolios Given Multiple Eurostoxx-Based Uncertainty Scenarios: A Stochastic Goal Programming Approach from Fuzzy Betas ⋮ Portfolio Selection with Multiple Time Horizons: A Mean Variance—Stochastic Goal Programming Approach ⋮ Static Markowitz mean-variance portfolio selection model with long-term bonds ⋮ Stochastic network optimization models for investment planning ⋮ A general framework for multistage mean-variance post-tax optimization ⋮ Discrete time mean-variance analysis with singular second moment matrices and an exogenous liability ⋮ Mean–variance efficient portfolios with many assets: 50% short ⋮ HYPER SENSITIVITY ANALYSIS OF PORTFOLIO OPTIMIZATION PROBLEMS ⋮ Portfolio Selection from Multiple Benchmarks: A Goal Programming Approach to an Actual Case ⋮ A Stein type lemma for the multivariate generalized hyperbolic distribution ⋮ Communication and personal selection of pension saver's financial risk ⋮ Extensions of Stein's Lemma for the Skew-Normal Distribution ⋮ Stochastic goal programming: A mean-variance approach ⋮ Analyzing legal regulations in the Norwegian life insurance business using a multistage asset-liability management model ⋮ A note on portfolio selection with restrictions on leverage ⋮ A compromise solution to mutual funds portfolio selection with transaction costs ⋮ Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution ⋮ Mean-variance-skewness efficient surfaces, Stein's lemma and the multivariate extended skew-Student distribution ⋮ Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds ⋮ Mean‐Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection ⋮ Time to wealth goals in capital accumulation ⋮ Standardized versus customized portfolio: a compensating variation approach ⋮ Use of stochastic and mathematical programming in portfolio theory and practice ⋮ Computing efficient frontiers using estimated parameters ⋮ Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities ⋮ Univariate and multivariate measures of risk aversion and risk premiums ⋮ A direct test for the mean variance efficiency of a portfolio. ⋮ Generalized concavity of a function in portfolio theory
This page was built for publication: Comparison of Alternative Utility Functions in Portfolio Selection Problems
