Portfolio selection with hyperexponential utility functions.
T. BulmusSüleyman ÖzekiciPublished in: OR Spectr. (2014)
Keyphrases
- utility function
- portfolio selection
- decision makers
- multi attribute
- portfolio optimization
- expected utility
- decision theory
- robust optimization
- probability distribution
- decision problems
- portfolio management
- optimal portfolio
- risk averse
- financial markets
- non stationary
- transaction costs
- preference elicitation
- decision making
- multiple objectives
- supply chain