Portfolio selection in stochastic markets with exponential utility functions.
Ethem ÇanakogluSüleyman ÖzekiciPublished in: Ann. Oper. Res. (2009)
Keyphrases
- utility function
- portfolio selection
- financial markets
- market equilibrium
- expected utility
- multi attribute
- optimal portfolio
- decision makers
- decision problems
- portfolio optimization
- decision theory
- portfolio management
- robust optimization
- preference elicitation
- stock market
- transaction costs
- long term
- probability distribution
- multiple objectives
- risk averse
- bidding strategies
- monte carlo
- stochastic programming
- stock price