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Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities.
Masaaki Kijima
Masamitsu Ohnishi
Published in:
Ann. Oper. Res. (1993)
Keyphrases
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risk aversion
risk analysis
risk neutral
utility function
risk averse
expected utility
decision making
investment strategies
risk assessment
risk management
influence diagrams
optimal solution
pareto optimal
decision theory
exchange rate
stochastic programming
risk factors
fuzzy logic
bayesian networks