Name
Abstract | ||
|---|---|---|
We study the efficient frontier problem of maximizing the expected utility of terminal wealth and minimizing the conditional
VaR of the utility loss. We establish the existence of the optimal solution with the convex duality analysis. We find the
optimal value of the constrained problem with the sequential penalty function and the dynamic programming method. |
Year | DOI | Venue |
|---|---|---|
2009 | 10.1007/s00186-008-0234-9 | Math. Meth. of OR |
Keywords | DocType | Volume |
efficient frontier of utility and cvar · existence of optimal solutions · state/control constraints · sequential penalty functions · dynamic programming,expected utility,dynamic programming,efficient frontier,penalty function | Journal | 70 |
Issue | ISSN | Citations |
1 | 1432-2994 | 3 |
PageRank | References | Authors |
1.01 | 1 | 1 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Harry Zheng | 1 | 28 | 9.30 |