Efficient frontier of utility and CVaR (Q836867)

The author studies the efficient frontier problem of utility maximization and CVaR minimization in an incomplete constrained market. The formulation leads naturally to a two stage optimization problem: one parametric nonsmooth utility maximization and one scalar concave maximization. He follows \textit{J. Cvitanic} [SIAM J. Control Optimization 38, No. 4, 1050--1066 (2000; Zbl 1034.91037)] with major changes to show the existence of the optimal solution with convex duality analysis and find the optimal value with the sequential penalty function and dynamic programming methods.