Additive portfolio improvement and utility-efficient payoffs

DOI10.1007/s11579-016-0179-3zbMath1369.91163OpenAlexW2519523186MaRDI QIDQ513750

Thomas Liebmann, Stefan Kassberger

Publication date: 7 March 2017

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-016-0179-3

zbMATH Keywords

additiveconditional expectationpayoff improvementrobust Savage utilityuniform preferences

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

Related Items (2)

Generalized statistical arbitrage concepts and related gain strategies ⋮ Robust statistical arbitrage strategies

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