On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution

DOI10.1016/J.EJOR.2022.01.048OpenAlexW4210667811WikidataQ114184348 ScholiaQ114184348MaRDI QIDQ2672147FDOQ2672147

Authors: Yanyan Li 

Publication date: 8 June 2022

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2022.01.048

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zbMATH Keywords

integer programmingportfolio optimizationMerton's problemKelly criterion

Mathematics Subject Classification ID

Portfolio theory (91G10) Integer programming (90C10)

Cites Work

• CVXPY: a Python-embedded modeling language for convex optimization
• Title not available (Why is that?)
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Exposition of a New Theory on the Measurement of Risk
• Towards a theory of volatility trading
• Kernel search: a new heuristic framework for portfolio selection
• Kernel search: an application to the index tracking problem
• Kernel search: a general heuristic for the multi-dimensional knapsack problem
• Quadratic programming is in NP
• Title not available (Why is that?)
• Spanning and completeness in markets with contingent claims
• Arbitrage-free SVI volatility surfaces
• Adaptive kernel search: a heuristic for solving mixed integer linear programs
• Optimal static quadratic hedging
• A functional analysis approach to the static replication of European options

Cited In (2)

• Market timing with option-implied distributions: A forward-looking approach
• Discounting axioms imply risk neutrality

Uses Software

• Gurobi
• CVXPY

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