A surrogate for an investor's bi-criteria utility function (profitability, safety) is proposed as an alternative methodology for selecting portfolios. The optimum is approximated by resorting to a recent utility theorem expounded in multi-criteria analysis. This method is developed for an ‘average’ investor and could be used as a routine procedure by investment consultants with incomplete information of the client's utility function.
No takes yet. Share an insight, caveat, or question.
Ballestero et al. (1996) studied this question.
Synapse has enriched 4 closely related papers on similar clinical questions. Consider them for comparative context: