Portfolio selection in stochastic markets with HARA utility functions.
Ethem ÇanakogluSüleyman ÖzekiciPublished in: Eur. J. Oper. Res. (2010)
Keyphrases
- utility function
- portfolio selection
- financial markets
- decision makers
- market equilibrium
- expected utility
- portfolio optimization
- decision theory
- optimal portfolio
- multi attribute
- robust optimization
- decision problems
- portfolio management
- stochastic programming
- preference elicitation
- stock price
- monte carlo
- risk averse
- probability distribution
- risk management
- neural network
- artificial intelligence