Beyond expected utility: Subjective risk aversion and optimal portfolio choice under convex shortfall risk measures.
Mario BrandtnerWolfgang KürstenRobert RischauPublished in: Eur. J. Oper. Res. (2020)
Keyphrases
- expected utility
- optimal portfolio
- risk aversion
- utility function
- decision theoretic
- decision theory
- decision makers
- risk averse
- influence diagrams
- optimal strategy
- robust optimization
- pareto optimal
- belief functions
- belief state
- artificial intelligence
- solution quality
- portfolio selection
- portfolio optimization
- monte carlo
- theoretical framework
- multi objective