Portfolio optimization under entropic risk management
As a whole, the paper is well written, with clear proofs, discussion of the results and attention to detail. It begins with a reasonably detailed overview of portfolio risk measures. It further discusses the properties that a risk measure should possess to be useful to practitioners. The paper's main focus is the entropic risk measure that the author defines in a more general space than it is usually done in the literature. He then demonstrates that this extended entropic risk measure is convex, i.e., it possesses a number of desirable properties. The next step is to study the performance of the extended entropic risk measure. It is demonstrated in the paper that there exists an optimal portfolio selection and the form of the solution is specified.
scientific article; zbMATH DE number 5601608
scientific article