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Determination and estimation of risk aversion coefficients |
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| Authors: | Bodnar Taras Okhrin Yarema Vitlinskyy Valdemar Zabolotskyy Taras |
| Institution: | 1.Department of Mathematics, Stockholm University, Roslagsvägen 101, 10691, Stockholm, Sweden ;2.Department of Statistics, University of Augsburg, Universitaetsstrasse 16, 86159, Augsburg, Germany ;3.Department of Economic and Mathematical Modelling, Kyiv National Economic University, Peremoga Avenue 54/1, Kiev, 03680, Ukraine ;4.Department of Programming, Ivan Franko Lviv National University, Universytetska str. 1, Lviv, 79000, Ukraine ; |
| Abstract: | Computational Management Science - In the paper we consider two types of utility functions often used in portfolio allocation problems, i.e. the exponential utility and the quadratic utility. We... |
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