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  • Search: subject:"Monotone mean-variance"
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Year of publication
Subject
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monotone mean-variance preferences 3 HARA utility 2 crisp acts 2 set of priors 2 unambiguous asset 2 Ambiguity 1 Analysis of variance 1 Continuous processes 1 Divergence preferences 1 Mean-variance 1 Monotone hull 1 Monotone mean-variance 1 Monotone mean–variance preferences 1 Optimal portfolio 1 Portfolio selection 1 Portfolio-Management 1 Theorie 1 Theory 1 Translation-invariant hull 1 Truncated quadratic utility 1 Varianzanalyse 1 ambiguity 1 divergence preferences 1 optimal portfolio 1 truncated quadratic utility 1
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Online availability
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Free 3 Undetermined 2
Type of publication
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Book / Working Paper 3 Article 2
Type of publication (narrower categories)
All
Article in journal 1 Aufsatz in Zeitschrift 1
Language
All
Undetermined 3 English 2
Author
All
Maccheroni, Fabio 2 Marinacci, Massimo 2 Rustichini, Aldo 2 André, Eric 1 André, Éric 1 Cerný, Ales 1 Li, Duan 1 Strub, Moris S. 1 Černý, Aleš 1
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Institution
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Collegio Carlo Alberto, Università degli Studi di Torino 1 HAL 1
Published in...
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AMSE Working Papers 1 Carlo Alberto Notebooks 1 Journal of Mathematical Economics 1 Operations research letters 1 Working Papers / HAL 1
Source
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RePEc 4 ECONIS (ZBW) 1
Showing 1 - 5 of 5
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A note on monotone mean-variance preferences for continuous processes
Strub, Moris S.; Li, Duan - In: Operations research letters 48 (2020) 4, pp. 397-400
Persistent link: https://www.econbiz.de/10012294747
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Crisp Fair Gambles
André, Eric - HAL - 2014
Axiomatic models of decision under ambiguity with a non-unique prior allow for the existence of Crisp Fair Gambles: acts whose expected utility is nul whichever of the priors is used. But, in these models, the DM has to be indifferent to the addition of such acts. Their existence is then at odds...
Persistent link: https://www.econbiz.de/10010933812
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Cover Image
Crisp Fair Gambles
André, Éric - 2014
Axiomatic models of decision under ambiguity with a non-unique prior allow for the existence of Crisp Fair Gambles: acts whose expected utility is nul whichever of the priors is used. But, in these models, the DM has to be indifferent to the addition of such acts. Their existence is then at odds...
Persistent link: https://www.econbiz.de/10010795571
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On the Computation of Optimal Monotone Mean-Variance Portfolios via Truncated Quadratic Utility
Cerný, Ales; Maccheroni, Fabio; Marinacci, Massimo; … - Collegio Carlo Alberto, Università degli Studi di Torino - 2008
optimization of truncated quadratic utility (cf. [2]) to the optimal monotone mean-variance portfolios (cf. [9]), thus simplifying …
Persistent link: https://www.econbiz.de/10005405555
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On the computation of optimal monotone mean–variance portfolios via truncated quadratic utility
Černý, Aleš; Maccheroni, Fabio; Marinacci, Massimo; … - In: Journal of Mathematical Economics 48 (2012) 6, pp. 386-395
case, we connect optimization of truncated quadratic utility (see Černý, 2003) to the optimal monotone mean–variance …
Persistent link: https://www.econbiz.de/10011065388
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