Arbeitspapier
Pessimistic portfolio allocation and choquet expected utility
Recent developments in the theory of choice under uncertainty and risk yield a pessimistic decision theory that replaces the classical expected utility criterion with a Choquet expectation that accentuates the likelihood of the least favorable outcomes. A parallel theory has recently emerged in the literature on risk assessment. It is shown that a general form of pessimistic portfolio optimization based on the Choquet approach may be formulated as a problem of linear quantile regression.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP09/04
- Klassifikation
-
Wirtschaft
- Thema
-
Portfolio-Management
Erwartungsnutzen
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bassett, Gilbert W.
Koenker, Roger
Kordas, Gregory
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2004
- DOI
-
doi:10.1920/wp.cem.2004.0904
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:25 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bassett, Gilbert W.
- Koenker, Roger
- Kordas, Gregory
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2004
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