Portfolio optimization with optimal expected utility risk measures.
Sebastian GeisselHolger GrafJulia HerbingerFrank Thomas SeifriedPublished in: Ann. Oper. Res. (2022)
Keyphrases
- risk measures
- portfolio optimization
- expected utility
- risk averse
- pareto optimal
- optimal strategy
- robust optimization
- utility function
- portfolio management
- decision theory
- portfolio selection
- decision theoretic
- decision makers
- bi objective
- factor analysis
- multiple objectives
- optimization methods
- multi objective optimization
- dynamic programming
- influence diagrams
- risk management
- multi objective
- stock exchange
- problems involving
- decision problems
- optimal solution
- stochastic programming
- artificial intelligence
- stock price
- stock market