Portfolio Allocation Decision-Making Through Step Utility Functions

This article builds on the mean-variance criterion and the connection with expected utility maximization to define optimal portfolios. In addition, it extends the results by considering the use of step utility functions, which are non-continuous and able to capture possible preferences associated with some portfolio managers that are assessed only on the achievement of a given target return

MoreLess

Year of publication:	2022
Authors:	Santos, António Alberto
Publisher:	[S.l.] : SSRN
Subject:	Portfolio-Management \| Portfolio selection \| Nutzenfunktion \| Utility function \| Theorie \| Theory \| Entscheidung \| Decision \| Nutzen \| Utility

More details
Report error

Extent:	1 Online-Ressource (18 p)
Type of publication:	Book / Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.4297866 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014240774