Decision-making of portfolio investment with linear plus double exponential utility function.
Qingjian ZhouJia JiaoDatian NiuDeli YangPublished in: RAIRO Oper. Res. (2013)
Keyphrases
- utility function
- decision making
- decision makers
- double exponential
- risk aversion
- decision theory
- expected utility
- multi attribute
- optimal portfolio
- decision problems
- investment decisions
- utility maximization
- portfolio management
- risk averse
- influence diagrams
- risk sensitive
- multi criteria
- optimization criterion
- utility elicitation
- preference elicitation
- data mining
- portfolio selection
- probability distribution
- database
- incomplete information
- graphical models
- worst case
- special case
- computational complexity
- artificial intelligence