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

DOI10.1016/j.ejor.2022.01.048OpenAlexW4210667811WikidataQ114184348 ScholiaQ114184348MaRDI QIDQ2672147

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

zbMATH Keywords

integer programmingportfolio optimizationKelly criterionMerton's problem

Mathematics Subject Classification ID

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

Uses Software

• Gurobi
• CVXPY

Cites Work

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• 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
• Spanning and completeness in markets with contingent claims
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Adaptive kernel search: a heuristic for solving mixed integer linear programs
• Quadratic programming is in NP
• CVXPY: A Python-Embedded Modeling Language for Convex Optimization
• Arbitrage-free SVI volatility surfaces
• Optimal static quadratic hedging
• A functional analysis approach to the static replication of European options
• Exposition of a New Theory on the Measurement of Risk

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