Short communication: utility-based acceptability indices

DOI10.1137/24M1632486MaRDI QIDQ6557365zbMATH OpenFDO

Authors Marcin Pitera, Miklós Rásonyi

Publication date 18 June 2024

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/24M1632486

zbMATH Keywords

acceptability indexcertainty equivalententropic utilitymean variance optimizationperformance measurerisk aversionrisk sensitive portfolioscaled utility

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

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Cites work

• 60 years of portfolio optimization: practical challenges and current trends
• A characterization of the optimal certainty equivalent of the average cost via the Arrow-Pratt sensitivity function
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• Acceptability maximization
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• Dynamic coherent acceptability indices and their applications to finance
• Dynamic conic finance via backward stochastic difference equations
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• Portfolio Optimization and Performance Analysis
• Representation results for law invariant time consistent functions
• Risk-sensitive dynamic asset management
• Stochastic finance. An introduction in discrete time
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• The mathematics of arbitrage

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