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Determination and estimation of risk aversion coefficients
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...
Keywords:
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