Comparison of Alternative Utility Functions in Portfolio Selection Problems
From MaRDI portal
Publication:3040871
DOI10.1287/MNSC.29.11.1257zbMATH Open0526.90010OpenAlexW2133807035MaRDI QIDQ3040871FDOQ3040871
Authors: 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
Cited In (35)
- Extensions of Stein's Lemma for the Skew-Normal Distribution
- Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution
- Multivariate risk premiums
- A direct test for the mean variance efficiency of a portfolio.
- Univariate and multivariate measures of risk aversion and risk premiums
- Static Markowitz mean-variance portfolio selection model with long-term bonds
- Post-tax optimization with stochastic programming
- A numerical evaluation of meta-heuristic techniques in portfolio optimisation
- Portfolio selection from multiple benchmarks: a goal programming approach to an actual case
- A note on portfolio selection with restrictions on leverage
- HYPER SENSITIVITY ANALYSIS OF PORTFOLIO OPTIMIZATION PROBLEMS
- Stochastic network optimization models for investment planning
- A compromise solution to mutual funds portfolio selection with transaction costs
- A Stein type lemma for the multivariate generalized hyperbolic distribution
- 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
- Mean--variance efficient portfolios with many assets: 50\% short
- A general framework for multistage mean-variance post-tax optimization
- Portfolio Selection with Multiple Time Horizons: A Mean Variance—Stochastic Goal Programming Approach
- Computing efficient frontiers using estimated parameters
- Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities
- Mean‐Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection
- Standardized versus customized portfolio: a compensating variation approach
- Use of stochastic and mathematical programming in portfolio theory and practice
- Time to wealth goals in capital accumulation
- A computational intelligence method for solving a class of portfolio optimization problems
- Generalized concavity of a function in portfolio theory
- Stochastic goal programming: A mean-variance approach
- Selecting Portfolios Given Multiple Eurostoxx-Based Uncertainty Scenarios: A Stochastic Goal Programming Approach from Fuzzy Betas
- Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds
- Models and model value in stochastic programming
- Discrete time mean-variance analysis with singular second moment matrices and an exogenous liability
- Mean-variance-skewness efficient surfaces, Stein's lemma and the multivariate extended skew-Student distribution
- Communication and personal selection of pension saver's financial risk
- Analyzing legal regulations in the Norwegian life insurance business using a multistage asset-liability management model
This page was built for publication: Comparison of Alternative Utility Functions in Portfolio Selection Problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3040871)
