Objective comparisons of the optimal portfolios corresponding to different utility functions

European Journal of Operational Research

Volumn 199, Issue 2, 2009, Pages 604-610

  Yu, Bosco Wing Tong ^a   Pang, Wan Kai ^a   Troutt, Marvin D ^b   Hou, Shui Hung ^a  

^a HONG KONG POLYTECHNIC UNIVERSITY   (Hong Kong)

^b KENT STATE UNIVERSITY   (United States)

Author keywords

Brownian martingales; Integration representation; Martingale measure; Optimal portfolio; Utility function

Indexed keywords

BLACK-SCHOLES; BROWNIAN MARTINGALES; MARTINGALE MEASURE; OPTIMAL INVESTMENTS; OPTIMAL PORTFOLIO; OPTIMAL STRATEGIES; OPTIMAL VALUES; PORTFOLIO SELECTIONS; TERMINAL WEALTHS; UTILITY FUNCTION;

ALGEBRA; BROWNIAN MOVEMENT; OPTIMAL SYSTEMS; OPTIMIZATION; SYSTEMS ENGINEERING;

DYNAMIC PROGRAMMING;

EID: 67349254098     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2008.11.044     Document Type: Article

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