Portfolio optimization with optimal expected utility risk measures

DOI10.1007/s10479-021-04403-7zbMath1482.91195OpenAlexW3215520562MaRDI QIDQ2069240

Frank Thomas Seifried, J. Herbinger, H. Graf, Sebastian Geissel

Publication date: 20 January 2022

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-021-04403-7

zbMATH Keywords

portfolio optimizationrisk measuresvalue at riskoptimal expected utility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Optimal stochastic control (93E20) Portfolio theory (91G10)

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