Portfolio selection in stochastic markets with HARA utility functions.

Ethem Çanakoglu Süleyman Özekici

Published 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