Boundaries of the risk aversion coefficient: Should we invest in the global minimum variance portfolio?
Taras BodnarYarema OkhrinPublished in: Appl. Math. Comput. (2013)
Keyphrases
- global minimum
- risk aversion
- utility function
- risk averse
- cost function
- decision makers
- expected utility
- portfolio management
- energy function
- simulated annealing
- energy minimization
- global optimum
- global minima
- exchange rate
- decision making
- portfolio selection
- graph cuts
- energy functional
- transaction costs
- portfolio optimization
- decision theory
- decision theoretic
- image structure
- active contours
- genetic algorithm