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Optimal Diversification in the Presence of Parameter Uncertainty for a Risk Averse Investor.
Mathieu S. Dubois
Luitgard A. M. Veraart
Published in:
SIAM J. Financial Math. (2015)
Keyphrases
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risk averse
risk neutral
single parameter
risk aversion
utility function
decision makers
stochastic programming
portfolio management
expected utility
artificial intelligence
dynamic programming
short term
expected cost
inventory level
optimal portfolio