Statistical Portfolio Estimation under the Utility Function Depending on Exogenous Variables.
Kenta HamadaWei Ye DongMasanobu TaniguchiPublished in: Adv. Decis. Sci. (2012)
Keyphrases
- utility function
- decision makers
- multi attribute
- decision theory
- expected utility
- decision problems
- probability distribution
- risk aversion
- optimization criterion
- utility maximization
- risk sensitive
- preference elicitation
- social welfare
- portfolio management
- decision making
- makes sense
- risk averse
- conditional probabilities
- fixed point
- portfolio selection
- random variables
- state space
- probabilistic model
- minimax regret