Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals.
Sigrid KällbladPublished in: Finance Stochastics (2017)
Keyphrases
- portfolio optimization
- risk management
- portfolio management
- risk aversion
- portfolio selection
- risk measures
- problems involving
- bi objective
- utility function
- factor analysis
- robust optimization
- stock market
- investment decisions
- stock exchange
- risk averse
- special case
- optimization methods
- stock price
- sharpe ratio
- expected utility