Expected utility approximation and portfolio optimisation

DOI10.1016/j.insmatheco.2020.05.010zbMath1446.91076OpenAlexW3033798378MaRDI QIDQ784451

Chaofan Sun, Matthias Albrecht Fahrenwaldt

Publication date: 3 August 2020

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.05.010

zbMATH Keywords

asymptotic analysisexpected utilityportfolio selectionpower utilitymean-variance optimisation

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (2)

POLYNOMIAL UTILITY ⋮ Optimal reinsurance design under solvency constraints

Cites Work

• Less is more: increasing retirement gains by using an upside terminal wealth constraint
• Taylor series approximations to expected utility and optimal portfolio choice
• Inconsistent investment and consumption problems
• Modern tontine with bequest: innovation in pooled annuity products
• Representation of solutions to BSDEs associated with a degenerate FSDE
• On Merton’s Problem for Life Insurers
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
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