Open AccessUtility Maximization for an Investor with Asymmetric Attitude to Gains and Losses over the Mean–Variance Efficient Frontier
Author(s) -
Alexey Faizliev,
E. V. Korotkovskaya,
Sergei Sidorov,
Fedor M. Smolov,
Andrey Vlasov
Publication year - 2018
Publication title -
journal of physics. conference series
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.21
H-Index - 85
eISSN - 1742-6596
pISSN - 1742-6588
DOI - 10.1088/1742-6596/1141/1/012017
Subject(s) - efficient frontier , portfolio , portfolio optimization , expected utility hypothesis , economics , differentiable function , utility maximization problem , mathematical optimization , replicating portfolio , mathematical economics , econometrics , modern portfolio theory , variance (accounting) , utility maximization , computer science , mathematics , financial economics , mathematical analysis , accounting