Expected utility maximization and conditional value-at-risk deviation-based Sharpe ratio in dynamic stochastic portfolio

DOI10.14736/kyb-2018-6-1167zbMath1463.91128arXiv1810.11619OpenAlexW2898516826MaRDI QIDQ3120383

Soňa Kilianová, Daniel Ševčovič

Publication date: 1 March 2019

Published in: Kybernetika (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.11619

zbMATH Keywords

Hamilton-Jacobi-Bellman equationconditional value-at-riskdynamic stochastic portfolio optimizationCVaRD-based Sharpe ratio

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

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