Hagströmer, Björn; Anderson, Richard G.; Binner, Jane M. - 2008 - Rev.
management
situations, investors often express preferences that imply more complex utility
functions than power or quadratic … 1, panels c) and d) respectively.
The bilinear functions capture a phenomenon that is central in investment
management …{variance versus full{scale optimisa-
tion: In and out of sample, forthcoming in Journal of Asset Management
7(5), 302{311.
Bai, J. and …