Portfolio selection in stochastic markets with HARA utility functions

European Journal of Operational Research ◽

10.1016/j.ejor.2009.03.017 ◽

2010 ◽

Vol 201 (2) ◽

pp. 520-536 ◽

Author(s):

Ethem Çanakoğlu ◽

Süleyman Özekici

Keyword(s):

Portfolio Selection ◽

Utility Functions ◽

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Performance Evaluation, Portfolio Selection, and HARA Utility

European Journal of Finance ◽

10.1080/13518470500460228 ◽

2006 ◽

Vol 12 (8) ◽

pp. 649-669 ◽

Author(s):

Wolfgang Breuer ◽

Marc Gürtler

Keyword(s):

Performance Evaluation ◽

Portfolio Selection ◽

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Comparison of Alternative Utility Functions in Portfolio Selection Problems

Management Science ◽

10.1287/mnsc.29.11.1257 ◽

1983 ◽

Vol 29 (11) ◽

pp. 1257-1276 ◽

Author(s):

J. G. Kallberg ◽

W. T. Ziemba

Keyword(s):

Portfolio Selection ◽

Utility Functions ◽

Selection Problems

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A Numerical Solution of Optimal Portfolio Selection Problem with General Utility Functions

Computational Economics ◽

10.1007/s10614-019-09923-w ◽

2019 ◽

Vol 55 (3) ◽

pp. 957-981

Author(s):

Guiyuan Ma ◽

Song-Ping Zhu ◽

Boda Kang

Keyword(s):

Numerical Solution ◽

Portfolio Selection ◽

Utility Functions ◽

Optimal Portfolio ◽

Selection Problem ◽

Portfolio Selection Problem ◽

General Utility ◽

Optimal Portfolio Selection

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Portfolio selection with hyperexponential utility functions

OR Spectrum ◽

10.1007/s00291-012-0307-2 ◽

2012 ◽

Vol 36 (1) ◽

pp. 73-93 ◽

Author(s):

T. Bulmuş ◽

S. Özekici

Keyword(s):

Portfolio Selection ◽

Utility Functions

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Portfolio Selection in Asset Liability Management Using Probabilistic Utility Functions

SSRN Electronic Journal ◽

10.2139/ssrn.1917265 ◽

2011 ◽

Author(s):

Martin Wiethuechter ◽

Katharina Schueller

Keyword(s):

Portfolio Selection ◽

Utility Functions ◽

Asset Liability Management ◽

Liability Management

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A CONVERGENCE OF OPTIMAL INVESTMENT STRATEGIES FOR THE HARA UTILITY FUNCTIONS

East Asian Mathematical Journal ◽

10.7858/eamj.2015.009 ◽

2015 ◽

Vol 31 (1) ◽

pp. 91-101

Author(s):

Jai Heui Kim

Keyword(s):

Optimal Investment ◽

Utility Functions ◽

Investment Strategies ◽

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Note—Optimal Portfolio Revision with Proportional Transaction Costs: Extension to Hara Utility Functions and Exogenous Deterministic Income

Management Science ◽

10.1287/mnsc.22.8.921 ◽

1976 ◽

Vol 22 (8) ◽

pp. 921-923 ◽

Author(s):

George M. Constantinides

Keyword(s):

Transaction Costs ◽

Utility Functions ◽

Optimal Portfolio ◽

Proportional Transaction Costs ◽

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Optimal control with HARA utility functions

Proceedings of the 39th IEEE Conference on Decision and Control (Cat. No.00CH37187) ◽

10.1109/cdc.2000.912764 ◽

2002 ◽

Author(s):

A.E.B. Lim ◽

Xun Yu Zhou

Keyword(s):

Optimal Control ◽

Utility Functions ◽

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Comparison of alternative utility functions in portfolio selection problems

Handbook of the Fundamentals of Financial Decision Making - World Scientific Handbook in Financial Economics Series ◽

10.1142/9789814417358_0023 ◽

2013 ◽

pp. 389-408 ◽

Author(s):

J. G. Kallberg ◽

W. T. Ziemba

Keyword(s):

Portfolio Selection ◽

Utility Functions ◽

Selection Problems

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Zero-Level Pricing and the HARA Utility Functions

Journal of Optimization Theory and Applications ◽

10.1007/s10957-008-9420-4 ◽

2008 ◽

Vol 139 (2) ◽

pp. 393-402 ◽

Author(s):

S. M. Guu ◽

J. N. Wang

Keyword(s):

Utility Functions ◽

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