Optimal portfolio with vector expected utility
نویسندگان
چکیده
منابع مشابه
Optimal portfolio with vector expected utility
We study the optimal portfolio selected by an investor who conforms to Siniscalchi (2009)’s Vector Expected Utility’s (VEU) axioms and who is ambiguity averse. To this end, we derive a mean-variance preference generalised to ambiguity from the second-order Taylor-Young expansion of the VEU certainty equivalent. We apply this Mean Variance Variability preference to the static two-assets portfoli...
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ژورنال
عنوان ژورنال: Mathematical Social Sciences
سال: 2014
ISSN: 0165-4896
DOI: 10.1016/j.mathsocsci.2014.02.001