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An optimal investment strategy with maximal risk aversion and its ruin probability.
Begoña Fernández
Daniel Hernández-Hernández
Ana Meda
Patricia Saavedra
Published in:
Math. Methods Oper. Res. (2008)
Keyphrases
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risk aversion
risk neutral
investment strategies
risk averse
utility function
probability distribution
optimal solution
expected utility
neural network
data mining
decision making
dynamic programming
pareto optimal