Objective comparisons of the optimal portfolios corresponding to different utility functions.
Bosco Wing-Tong YuWan-Kai PangMarvin D. TrouttShui-Hung HouPublished in: Eur. J. Oper. Res. (2009)
Keyphrases
- utility function
- optimization criterion
- risk neutral
- multi attribute
- utility maximization
- decision makers
- risk aversion
- decision problems
- decision theory
- preference elicitation
- expected utility
- probability distribution
- risk averse
- risk sensitive
- optimal strategy
- quasi linear
- minimax regret
- optimal solution
- multi criteria
- sensitivity analysis
- quasiconvex