Portfolio optimization with optimal expected utility risk measures
Year of publication: |
2021
|
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Authors: | Geissel, S. ; Graf, H. ; Herbinger, J. ; Seifried, F. T. |
Published in: |
Annals of Operations Research. - New York, NY : Springer US, ISSN 1572-9338. - Vol. 309.2021, 1, p. 59-77
|
Publisher: |
New York, NY : Springer US |
Subject: | Optimal expected utility | Portfolio optimization | Risk measures | Value at risk |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.1007/s10479-021-04403-7 [DOI] |
Classification: | G11 - Portfolio Choice ; D81 - Criteria for Decision-Making under Risk and Uncertainty |
Source: |
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