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Construction of Risk-Averse Enhanced Index Funds.

Miguel A. LejeuneGülay Samatli-Paç
Published in: INFORMS J. Comput. (2013)
Keyphrases
  • risk averse
  • risk neutral
  • utility function
  • stochastic programming
  • decision makers
  • risk aversion
  • portfolio management
  • genetic algorithm
  • decision making
  • expected utility
  • linear programming
  • sensitivity analysis