Optimal portfolio for a highly risk-averse investor: A differential game interpretation.
Hidehiro KaiseJun SekinePublished in: Risk Decis. Anal. (2012)
Keyphrases
- risk averse
- optimal portfolio
- expected utility
- asset allocation
- portfolio management
- portfolio selection
- optimal strategy
- utility function
- decision makers
- decision theoretic
- decision theory
- portfolio optimization
- pareto optimal
- nash equilibrium
- game theory
- influence diagrams
- belief functions
- transaction costs
- stochastic programming
- financial data
- evolutionary algorithm
- decision making
- decision problems
- artificial intelligence
- factor analysis