Expected utility approximation and portfolio optimisation

DOI10.1016/J.INSMATHECO.2020.05.010MaRDI QIDQ784451zbMATH OpenOpenAlexFDO

Authors Chaofan Sun, Matthias A. Fahrenwaldt

Publication date 3 August 2020

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2020.05.010

zbMATH Keywords

asymptotic analysisexpected utilityportfolio selectionpower utilitymean-variance optimisation

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16) Existence of optimal solutions to problems involving randomness (49J55)

Recommendations

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Cites work

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• Inconsistent investment and consumption problems
• Less is more: increasing retirement gains by using an upside terminal wealth constraint
• Modern tontine with bequest: innovation in pooled annuity products
• On Merton’s Problem for Life Insurers
• Representation of solutions to BSDEs associated with a degenerate FSDE
• Taylor series approximations to expected utility and optimal portfolio choice
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments

Cited in

(11)

• Taylor series approximations to expected utility and optimal portfolio choice
• Optimal reinsurance design under solvency constraints
• Approximating exact expected utility via portfolio efficient frontiers
• Expected utility theory, optimal portfolios, and polyhedral coherent risk measures
• The long-run excess optimal power utility of an informed investor and its approximation
• Optimization of investment returns with \(N\)-step utility functions
• Gaussian approximation of expected utility
• Spectral utility, Wiener-Hopf techniques, and rational expectations
• Portfolio optimization under local-stochastic volatility: coefficient Taylor series approximations and implied Sharpe ratio
• Additive portfolio improvement and utility-efficient payoffs
• POLYNOMIAL UTILITY

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