Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9663911 | European Journal of Operational Research | 2005 | 12 Pages |
Abstract
Our results show that flexibility is the main characteristic of our model. In fact, adding constraints gives new optimal portfolios without reducing the expected utility of the decision maker. We will explain that such a result does not depend on constraints' misspecification but on the risk structure implied in the state preference approach.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Francesco M. Paris,