Portfolio optimization under loss aversion

DOI10.1016/j.ejor.2015.11.038zbMath1346.91202OpenAlexW2186018049MaRDI QIDQ322671

Cristinca Fulga

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2015.11.038

zbMATH Keywords

loss aversionportfolio optimizationutility functionsmean-risk model

Mathematics Subject Classification ID

Portfolio theory (91G10) Credit risk (91G40)

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