Expected utility approximation and portfolio optimisation

DOI10.1016/J.INSMATHECO.2020.05.010zbMATH Open1446.91076OpenAlexW3033798378MaRDI QIDQ784451FDOQ784451

Authors: Chaofan Sun, Matthias A. Fahrenwaldt 

Publication date: 3 August 2020

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.05.010

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zbMATH Keywords

asymptotic analysisexpected utilityportfolio selectionpower utilitymean-variance optimisation

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16) Existence of optimal solutions to problems involving randomness (49J55)

Cites Work

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Cited In (7)

• Expected utility theory, optimal portfolios, and polyhedral coherent risk measures
• Optimization of investment returns with \(N\)-step utility functions
• Gaussian approximation of expected utility
• Spectral utility, Wiener-Hopf techniques, and rational expectations
• Additive portfolio improvement and utility-efficient payoffs
• POLYNOMIAL UTILITY
• Optimal reinsurance design under solvency constraints

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