Portfolio optimization with optimal expected utility risk measures

DOI10.1007/S10479-021-04403-7MaRDI QIDQ2069240zbMATH OpenOpenAlexFDO

Authors H. Graf, J. Herbinger, Frank Thomas Seifried, Sebastian Geissel

Publication date 20 January 2022

Published in Annals of Operations Research (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s10479-021-04403-7

zbMATH Keywords

optimal expected utilityportfolio optimizationrisk measuresvalue at risk

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Portfolio theory (91G10) Statistical methods; risk measures (91G70) Optimal stochastic control (93E20)

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Cites work

• Coherent measures of risk
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• Generalized autoregressive conditional heteroscedasticity
• Implied risk aversion: an alternative rating system for retail structured products
• Optimal expected utility risk measures
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• Portfolio selection based on a simulated copula
• Relative risk aversion: what do we know?
• Safety First and the Holding of Assets
• Theory of games and economic behavior.
• Tractable robust expected utility and risk models for portfolio optimization

Cited in

(21)

• Optimal expected utility risk measures
• Portfolio decision with a quadratic utility and inflation risk
• Portfolio optimization for wealth-dependent risk preferences
• Portfolio optimization with entropic value-at-risk
• Portfolio optimization under safety first expected utility with nonlinear probability distortion
• Portfolio optimization using a new probabilistic risk measure
• Portfolio optimization with disutility-based risk measure
• Portfolio optimization managing value at risk under heavy tail return, using stochastic maximum principle
• PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
• scientific article; zbMATH DE number 5310569 (Why is no real title available?)
• scientific article; zbMATH DE number 2110050 (Why is no real title available?)
• Comparison of various risk measures for an optimal portfolio
• OPTIMAL PORTFOLIO CHOICE WITH CRASH RISK AND MODEL AMBIGUITY
• Portfolio optimization with wealth-dependent risk constraints
• Additive portfolio improvement and utility-efficient payoffs
• scientific article; zbMATH DE number 2217626 (Why is no real title available?)
• On optimal portfolio diversification with respect to extreme risks
• Mean-semivariance portfolio optimization using minimum average partial
• An algorithm to solve multi-objective integer quadratic programming problem
• Extreme risk decision modeling: a new approach with an application to air pollution based on PM2.5
• Expected utility theory, optimal portfolios, and polyhedral coherent risk measures

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