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- W2390789293 abstract "Robust approach maximizing worst-case utility was provided when both the distributions underlying the uncertain vector of returns are exactly unknown and the estimates of the structure of returns are unreliable.They introduced concave convex utility function measuring the utility of investors under model uncertainty and uncertainty structure describing the moments of returns and all possible distributions.Explicit formula solutions of efficient frontier and equilibrium price system were obtained by reformulating a robust portfolio optimization model with uncertainty structure as a parametric quadratic programming.This approach is an alternative of solving the optimal portfolios for an uncertainty-averse investor who takes a conservative viewpoint and identify asset mixes that have the best worst-case expected utility." @default.
- W2390789293 created "2016-06-24" @default.
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- W2390789293 date "2014-01-01" @default.
- W2390789293 modified "2023-09-26" @default.
- W2390789293 title "Portfolio Optimization Based on Generalized Expected Utility Model with Uncertainty" @default.
- W2390789293 hasPublicationYear "2014" @default.
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