Efficient frontier of utility and CVaR
type: Item
instance of: scholarly article
title: Efficient frontier of utility and CVaR
zbMATH Open document ID: 1182.90094
author: Harry Zheng
published in: Mathematical Methods of Operations Research
publication date: 2009-09-09T00:00:00Z
review text: The author studies the efficient frontier problem of utility maximization and CVaR minimization in an incomplete constrained market. The formulation leads naturally to a two stage optimization problem: one parametric nonsmooth utility maximization and one scalar concave maximization. He follows \textit{J. Cvitanic} [SIAM J. Control Optimization 38, No. 4, 1050--1066 (2000; Zbl 1034.91037)] with major changes to show the existence of the optimal solution with convex duality analysis and find the optimal value with the sequential penalty function and dynamic programming methods.
Mathematics Subject Classification ID: 90C46
Mathematics Subject Classification ID: 49L20
zbMATH DE Number: 5602494
zbMATH Keywords: incomplete constrained market
zbMATH Keywords: two stage optimization
MaRDI profile type: Publication
full work available at URL: s00186-008-0234-9
OpenAlex ID: W2059526210
cites work: Q3782303
cites work: CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
cites work: Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
cites work: Hedging contingent claims with constrained portfolios
cites work: Dual formulation of the utility maximization problem under transaction costs
cites work: Q4226179
cites work: Dynamic Portfolio Optimization with Bounded Shortfall Risks
cites work: Utility maximization under a shortfall risk constraint
cites work: Q4368791
cites work: Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
cites work: Martingale and Duality Methods for Utility Maximization in an Incomplete Market
cites work: The asymptotic elasticity of utility functions and optimal investment in incomplete markets
cites work: Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
cites work: Probability methods for approximations in stochastic control and for elliptic equations
cites work: Optimum consumption and portfolio rules in a continuous-time model
cites work: Q4395049
cites work: Convex Analysis
cites work: Optimal portfolio policies under bounded expected loss and partial information
DOI: 10.1007/S00186-008-0234-9
description: scientific article; zbMATH DE number 5602494