Efficient frontier of utility and CVaR
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.
scientific article; zbMATH DE number 5602494