On expected utility for financial insurance portfolios with stochastic dependencies.
Eva-María OrtegaLaureano F. EscuderoPublished in: Eur. J. Oper. Res. (2010)
Keyphrases
- expected utility
- risk management
- portfolio optimization
- decision theoretic
- optimal portfolio
- utility function
- decision theory
- decision makers
- risk aversion
- pareto optimal
- influence diagrams
- conditional plans
- decision making
- belief functions
- robust optimization
- optimal strategy
- portfolio selection
- stochastic programming
- monte carlo
- cooperative
- belief state
- probabilistic inference
- financial data
- artificial intelligence