Portfolio optimization under entropic risk management

DOI10.1007/s10114-009-7524-xzbMath1192.91174OpenAlexW2106366751MaRDI QIDQ839733

N. E. Zubov

Publication date: 3 September 2009

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-009-7524-x

zbMATH Keywords

portfolio optimizationrisk managemententropic risk measure

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (2)

Security portfolio management based on combined entropic risk measures ⋮ A new portfolio rebalancing model with transaction costs

Cites Work

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• BSDE with quadratic growth and unbounded terminal value
• The maximum principle for one kind of stochastic optimization problem and application in dynamic measure of risk
• Conditional and dynamic convex risk measures
• Convex risk measures for portfolio optimization and concepts of flexibility
• Coherent Measures of Risk
• Foundations of Modern Probability

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