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Parametric multi-attribute utility functions for optimal profit under risk constraints

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  • Babacar Seck

    ()

  • Laetitia Andrieu

    ()

  • Michel De Lara

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s11238-011-9255-6
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    Bibliographic Info

    Article provided by Springer in its journal Theory and Decision.

    Volume (Year): 72 (2012)
    Issue (Month): 2 (February)
    Pages: 257-271

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    Handle: RePEc:kap:theord:v:72:y:2012:i:2:p:257-271

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    Web page: http://www.springerlink.com/link.asp?id=100341

    Related research

    Keywords: Risk measures; Utility functions; Non-expected utility theory; Maxmin; Conditional value-at-risk; Loss aversion; D81;

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    References

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    1. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
    2. Tversky, Amos & Kahneman, Daniel, 1992. " Advances in Prospect Theory: Cumulative Representation of Uncertainty," Journal of Risk and Uncertainty, Springer, vol. 5(4), pages 297-323, October.
    3. Aharon Ben-Tal & Marc Teboulle, 1986. "Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming," Management Science, INFORMS, vol. 32(11), pages 1445-1466, November.
    4. Amos Tversky & Daniel Kahneman, 1979. "Prospect Theory: An Analysis of Decision under Risk," Levine's Working Paper Archive 7656, David K. Levine.
    5. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
    6. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
    7. Darinka Dentcheva & Andrzej Ruszczynski, 2004. "Portfolio Optimization With Stochastic Dominance Constraints," Finance 0402016, EconWPA, revised 02 Mar 2006.
    8. W. Ogryczak & A. Ruszczynski, 1997. "From Stochastic Dominance to Mean-Risk Models: Semideviations as Risk Measures," Working Papers ir97027, International Institute for Applied Systems Analysis.
    9. Fabio Maccheroni, 2002. "Maxmin under risk," Economic Theory, Springer, vol. 19(4), pages 823-831.
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