The optimal portfolio is determined as the solution of a bargaining game between two personalities that are assumed to characterise an investor with different risk-aversion.
Optimal portfolio selection as a Bargaining game / Bassetti, A., Torricelli, C. (LECTURE NOTES IN CONTROL AND INFORMATION SCIENCE). - In: Lecture Notes in Control and Information Sciences / HAMALAINEN R.P.; EHTAMO H.. - STAMPA. - [s.l], 1991. - pp. 249-259 [10.1007/bfb0006247]
Optimal portfolio selection as a Bargaining game
BASSETTI, Antonietta;TORRICELLI, Costanza
1991
Abstract
The optimal portfolio is determined as the solution of a bargaining game between two personalities that are assumed to characterise an investor with different risk-aversion.
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