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

DOI10.1016/J.EJOR.2022.01.048MaRDI QIDQ2672147zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

integer programmingportfolio optimizationMerton's problemKelly criterion

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3179081 (Why is no real title available?)
• scientific article; zbMATH DE number 3307201 (Why is no real title available?)
• A functional analysis approach to the static replication of European options
• Adaptive kernel search: a heuristic for solving mixed integer linear programs
• Arbitrage-free SVI volatility surfaces
• CVXPY: a Python-embedded modeling language for convex optimization
• Exposition of a New Theory on the Measurement of Risk
• Kernel search: a general heuristic for the multi-dimensional knapsack problem
• Kernel search: a new heuristic framework for portfolio selection
• Kernel search: an application to the index tracking problem
• Optimal static quadratic hedging
• Quadratic programming is in NP
• Spanning and completeness in markets with contingent claims
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Towards a theory of volatility trading

Cited in

(2)

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

Describes a project that uses

Uses Software

• Gurobi
• CVXPY

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