PORTFOLIO MANAGEMENT - Expected Utility Asset Allocation - Most asset allocation analyses use the mean-variance approach for analyzing the trade-off between risk and expected return. Analysts use quadratic programming to find optimal asset mixes and the characteristics of the capital asset pricing model to determine reasonable optimization inputs. This article presents an alternative approach in ...
| Year of publication: |
2007
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| Authors: | Sharpe, William F. |
| Published in: |
Financial analysts' journal : FAJ. - Charlottesville, Va : CFA Institute, ISSN 0015-198X, ZDB-ID 2194090. - Vol. 63.2007, 5, p. 18-31
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