Risk and utility in portfolio optimization

Physica A: Statistical Mechanics and its Applications

Volumn 324, Issue 1-2, 2003, Pages 81-88

  Cohen, Morrel H ^a   Natoli, Vincent D ^b  

^a RUTGERS UNIVERSITY   (United States)

^b EXXONMOBIL UPSTREAM RESEARCH COMPANY   (United States)

Author keywords

Finance; Mean variance; Portfolio; Risk utility

Indexed keywords

FUNCTIONS; OPTIMIZATION; PROBABILITY DISTRIBUTIONS; RESOURCE ALLOCATION; RISK ASSESSMENT;

MEAN-VARIANCE APPROACH;

INVESTMENTS;

EID: 0038238339     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(02)01957-X     Document Type: Conference Paper

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