Franke, Günter; Weber, Martin - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 1997
Portfolio choice is usually modelled by von Neumann-Morgenstern utility. Risk-value models are more general and permit the derivation of risk-value efficient frontiers. A behaviorally based risk measure with an endogenous or exogenous benchmark is used to derive efficient portfolios and to...