Approximating exact expected utility via portfolio efficient frontiers

DOI10.1007/s10203-017-0201-0zbMath1398.91509OpenAlexW2765155366MaRDI QIDQ1693847

Francesco Cesarone, Alessandra Carleo, Andrea Gheno, Jacopo Maria Ricci

Publication date: 31 January 2018

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-017-0201-0

zbMATH Keywords

multiobjective optimizationportfolio optimizationexpected utilityasset management

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Utility theory (91B16) Portfolio theory (91G10)

Related Items (6)

Continuous time mean–variance–utility portfolio problem and its equilibrium strategy ⋮ Mean-variance-VaR portfolios: MIQP formulation and performance analysis ⋮ Investment portfolio tracking using model predictive control ⋮ Adaptive evolutionary algorithms for portfolio selection problems ⋮ A relative robust approach on expected returns with bounded CVaR for portfolio selection ⋮ Risk parity with expectiles

Uses Software

• Gurobi

Cites Work

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