Additive portfolio improvement and utility-efficient payoffs

DOI10.1007/S11579-016-0179-3MaRDI QIDQ513750zbMATH OpenOpenAlexFDO

Authors Stefan Kassberger, Thomas Liebmann

Publication date 7 March 2017

Published in Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11579-016-0179-3

zbMATH Keywords

additiveconditional expectationpayoff improvementrobust Savage utilityuniform preferences

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16)

Recommendations

• Maximum expected utility efficient portfolios
• Expected utility approximation and portfolio optimisation
• The optimal portfolio strategy under different utility functions
• Portfolio optimization with optimal expected utility risk measures
• Approximating exact expected utility via portfolio efficient frontiers
• Relative utility bounds for empirically optimal portfolios
• Portfolio optimization under nonlinear utility
• Towards the determination of utility preference from optimal portfolio selections
• Portfolio adjusting optimization with added assets and transaction costs based on credibility measures
• The expected utility of portfolios of assets

Cites work

• scientific article; zbMATH DE number 5287151 (Why is no real title available?)
• A note on the characterization of conditional expectation operators
• A note on the suboptimality of path-dependent pay-offs in Lévy markets
• An alternative axiomatic characterisation of pricing operators
• An elementary proof of Douglas' theorem on contractive projections on \(L_ 1\)-spaces
• Andô-Douglas type characterization of optional projections and predictable projections
• Characterizations of conditional expectation-type operators
• Exercises in probability. A guided tour from measure theory to random processes via conditioning.
• Long-Term Risk: A Martingale Approach
• Optimal payoffs under state-dependent preferences
• Optimal portfolios under worst-case scenarios
• Optimality of payoffs in Lévy models
• Rationalizing investors' choices
• Stochastic finance. An introduction in discrete time

Cited in

(5)

• Detecting data-driven robust statistical arbitrage strategies with deep neural networks
• Robust statistical arbitrage strategies
• Generalized statistical arbitrage concepts and related gain strategies
• Additive valuations of streams of payoffs that satisfy the time value of money principle: A characterization and robust optimization
• scientific article; zbMATH DE number 5589331 (Why is no real title available?)

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