Performance of Portfolios Based on the Expected Utility-Entropy Fund Rating Approach.
Daniel ChiewJudy QiuSirimon TreepongkarunaJiping YangChenxiao ShiPublished in: Entropy (2021)
Keyphrases
- expected utility
- portfolio selection
- optimal portfolio
- utility function
- decision theoretic
- decision theory
- decision makers
- risk aversion
- pareto optimal
- influence diagrams
- investment strategies
- optimal strategy
- conditional plans
- multiple objectives
- portfolio optimization
- robust optimization
- financial markets
- prospect theory
- multi objective
- belief functions
- belief state
- bayesian networks