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Portfolio optimization under entropic risk management.
- Source :
-
Acta Mathematica Sinica . Jul2009, Vol. 25 Issue 7, p1113-1130. 18p. 1 Graph. - Publication Year :
- 2009
-
Abstract
- In this paper, properties of the entropic risk measure are examined rigorously in a general framework. This risk measure is then applied in a dynamic portfolio optimization problem, appearing in the risk management constraint. By considering the dual problem, we prove the existence and uniqueness of the solution and obtain an analytic expression for the solution. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 14398516
- Volume :
- 25
- Issue :
- 7
- Database :
- Academic Search Index
- Journal :
- Acta Mathematica Sinica
- Publication Type :
- Academic Journal
- Accession number :
- 47488205
- Full Text :
- https://doi.org/10.1007/s10114-009-7524-x