A minimax regret portfolio model based on the investor's utility loss.
Sandra CaçadorPedro Cortesão GodinhoJoana Matos DiasPublished in: Oper. Res. (2022)
Keyphrases
- minimax regret
- utility function
- utility elicitation
- portfolio theory
- preference elicitation
- portfolio selection
- expected utility
- optimal portfolio
- decision problems
- decision theory
- robust optimization
- multi attribute
- probability distribution
- investment decisions
- stochastic programming
- decision making
- decision makers
- portfolio optimization
- optimization criterion
- supervised learning
- optimal solution
- bayesian networks