Optimal investment with risk controlled by weighted entropic risk measures

DOI10.1137/22M152894XMaRDI QIDQ6496946

Jian-ming Xia

Publication date: 6 May 2024

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

zbMATH Keywords

risk managementexpected utility maximizationmonotone additive risk measureweighted CARA certainty equivalentsweighted entropic risk measure

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cites Work

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