Portfolio selection: a linear approach with dual expected utility

DOI10.1016/J.AMC.2005.11.141zbMATH Open1158.91372OpenAlexW1992503871MaRDI QIDQ849753FDOQ849753

Authors: Marisa Cenci, Francesco Filippini 

Publication date: 31 October 2006

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2005.11.141

Recommendations

• Dynamic Portfolio Selection in a Dual Expected Utility Theory Framework
• Dynamic Portfolio Allocation, the Dual Theory of Choice and Probability Distortion Functions
• Multiple criteria linear programming model for portfolio selection
• Portfolio analysis with an asymmetric linear risk measure
• Maximum expected utility efficient portfolios

zbMATH Keywords

linear programmingportfolio selectiondual expected utility

Mathematics Subject Classification ID

Linear programming (90C05) Portfolio theory (91G10)

Cites Work

• Ordering risks: expected utility theory versus Yaari's dual theory of risk
• The Dual Theory of Choice under Risk
• Risk, ambiguity and the Savage axioms
• Advances in prospect theory: cumulative representation of uncertainty
• Prospect Theory: An Analysis of Decision under Risk
• Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine
• A mean-absolute deviation-skewness portfolio optimization model
• Heuristic algorithms for the portfolio selection problem with minimum transaction lots
• Selecting portfolios with fixed costs and minimum transaction lots
• Title not available (Why is that?)
• The optimal portfolio problem with coherent risk measure constraints.
• Portfolio optimization under lower partial risk measures
• Semi-absolute deviation rule for mutual funds portfolio selection
• Recent developments in modelling preferences under risk

Cited In (6)

• A test on the location of the tangency portfolio on the set of feasible portfolios
• Single-period Markowitz portfolio selection, performance gauging, and duality: a variation on the Luenberger shortage function
• Dynamic Portfolio Selection in a Dual Expected Utility Theory Framework
• Portfolio selection models with new negative exponential expected utilities
• Evaluating Portfolio Policies: A Duality Approach
• Dynamic Portfolio Allocation, the Dual Theory of Choice and Probability Distortion Functions

This page was built for publication: Portfolio selection: a linear approach with dual expected utility

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q849753)