Choosing and Using Utility Functions in Forming Portfolios-Reference-Cited by-同舟云学术

Choosing and Using Utility Functions in Forming Portfolios

Published:2019-07-01 Issue:3 Volume:75 Page:39-69
ISSN:0015-198X
Container-title:Financial Analysts Journal
language:en
Short-container-title:Financial Analysts Journal

Author:

Warren Geoffrey J.¹^ORCID

Affiliation:

1. Geoffrey J. Warren is an associate professor at the College of Business and Economics, Australian National University, Canberra, Australia.

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance,Accounting

Link

https://www.tandfonline.com/doi/pdf/10.1080/0015198X.2019.1618109

Reference58 articles.

1. Mean–variance versus full-scale optimisation: In and out of sample

2. Asset pricing with partial-moments

3. Investing for the Long Run when Returns Are Predictable

4. Bell, David, Estelle Liu, and Adam Shao. 2017a. “Member’s Default Utility Function for Default Fund Design Version 1 (‘MDUF v1’): Design.” Technical Paper No. 121 (March) http://membersdefaultutilityfunction.com.au/wp-content/uploads/2017/06/ technical_paper_1_mduf_v1___derivation.pdf.

5. Bell, David, Estelle Liu, and Adam Shao. 2017b. “Member’s Default Utility Function for Default Fund Design Version 1 (‘MDUF v1’): Static Models.” Technical Paper No. 221 (March) http://membersdefaultutilityfunction. com.au/wp-content/uploads/2017/06/technical_paper_2_mduf_v1___static_models.pdf .

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