Beyond expected utility : subjective risk aversion and optimal portfolio choice under convex shortfall risk measures
Mario Brandtner, Wolfgang Kürsten, Robert Rischau
| Year of publication: |
2020
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|---|---|
| Authors: | Brandtner, Mario ; Kürsten, Wolfgang ; Rischau, Robert |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 285.2020, 3 (16.9.), p. 1114-1126
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| Subject: | Decision analysis | Convex shortfall risk measures | Entropic risk measure | Portfolio selection | Risk aversion | Portfolio-Management | Risikoaversion | Risikomaß | Risk measure | Theorie | Theory | Risiko | Risk | Erwartungsnutzen | Expected utility | Messung | Measurement |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2020.02.040 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012239858