Does mean-variance portfoliomanagement deserve expected utility's approximative affirmation?
Otto LoistlPublished in: Eur. J. Oper. Res. (2015)
Keyphrases
- expected utility
- utility function
- risk aversion
- von neumann
- decision makers
- decision theory
- decision theoretic
- multi attribute
- influence diagrams
- decision problems
- optimal strategy
- belief functions
- prospect theory
- conditional plans
- risk averse
- portfolio selection
- probability distribution
- utility theory
- data mining
- neural network
- knapsack problem
- pareto optimal
- belief state
- theoretical framework
- decision making
- genetic algorithm