Stability of Optimal Solution in Portfolio Selection Problem

被引：0
|
作者：
Kopa, Milos [1 ]
机构：
[1] Charles Univ Prague, Fac Math & Phys, Dept Probabil & Math Stat, Prague, Czech Republic
来源：
PROCEEDINGS OF THE 21ST INTERNATIONAL CONFERENCE MATHEMATICAL METHODS IN ECONOMICS 2003 | 2003年
关键词：
Utility function; absolute risk aversion; portfolio selection problem; stability;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper deals with utility functions and their application in portfolio selection problem. We will restrict our attention to classiffication of utility functions based on the Arrow - Pratt absolute risk aversion measure. It is assumed that the distribution of returns is bounded and the stability of expected utility of optimal portfolio in dependence on the choice of utility function is analyzed. Stability of optimal investment strategies is discussed and the related results of an accompanying paper Kopa [3] are extended to the case of multiple optimal investment strategies.
引用
收藏
页码：166 / 170
页数：5
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