Portfolio optimization under entropic risk management
type: Item
instance of: scholarly article
title: Portfolio optimization under entropic risk management
zbMATH Open document ID: 1192.91174
author: N. E. Zubov
publication date: 2009-09-03T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5601608
zbMATH Keywords: entropic risk measure
zbMATH Keywords: portfolio optimization
zbMATH Keywords: risk management
reviewed by: Kristina P. Sendova
MaRDI profile type: Publication
full work available at URL: s10114-009-7524-x
OpenAlex ID: W2106366751
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DOI: 10.1007/S10114-009-7524-X
published in: Acta Mathematica Sinica, English Series
description: scientific article; zbMATH DE number 5601608