Characterizations of Optimal Portfolios by Univariate and Multivariate Risk Aversion

DOI10.1287/MNSC.35.3.259MaRDI QIDQ3824062zbMATH OpenOpenAlexFDO

Authors Yuming Li, William T. Ziemba

Publication date 1989

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.35.3.259

zbMATH Keywords

financeportfolio selectionrisky investmentsmeasures of risk aversionmulti-attributed utility functions

Mathematics Subject Classification ID

Recommendations

• Portfolio Choices in the Presence of Other Risks
• 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
• Asset Proportions in Optimal Portfolios
• Portfolio characterization of risk aversion

Cited in

(8)

• Determination and estimation of risk aversion coefficients
• Univariate and multivariate measures of risk aversion and risk premiums
• Risk aversion and portfolio selection in a continuous-time model
• Portfolio Choices in the Presence of Other Risks
• A note on portfolio optimization with path-dependent utility
• Multivariate risk aversion with applications
• Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities
• Investment decisions when utility depends on wealth and other attributes

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