Cerný, Ales; Maccheroni, Fabio; Marinacci, Massimo; … - Collegio Carlo Alberto, Università degli Studi di Torino - 2008
We report a surprising link between optimal portfolios generated by a special type of variational preferences called divergence preferences (cf. [8]) and optimal portfolios generated by classical expected utility. As a special case we connect optimization of truncated quadratic utility (cf. [2])...
