Luis Miguel Rios, Nikolaos V. Sahinidis. Portfolio optimization for wealth-dependent risk preferences. Annals OR, 177(1):63-90, 2010. [doi]
@article{RiosS10,
title = {Portfolio optimization for wealth-dependent risk preferences},
author = {Luis Miguel Rios and Nikolaos V. Sahinidis},
year = {2010},
doi = {10.1007/s10479-009-0592-6},
url = {http://dx.doi.org/10.1007/s10479-009-0592-6},
tags = {optimization},
researchr = {https://researchr.org/publication/RiosS10},
cites = {0},
citedby = {0},
journal = {Annals OR},
volume = {177},
number = {1},
pages = {63-90},
}