The risk of expected utility under parameter uncertainty
Nathan Lassance, Alberto Martín-Utrera, Majeed Simaan
| Year of publication: |
2024
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|---|---|
| Authors: | Lassance, Nathan ; Martín-Utrera, Alberto ; Simaan, Majeed |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Hanover, Md. : INFORMS, ISSN 1526-5501, ZDB-ID 2023019-9. - Vol. 70.2024, 11, p. 7644-7663
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| Subject: | mean-variance portfolio | parameter uncertainty | shrinkage | Risiko | Risk | Portfolio-Management | Portfolio selection | Erwartungsnutzen | Expected utility | Entscheidung unter Unsicherheit | Decision under uncertainty | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2023.00178 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015144289