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Portfolio optimization under entropic risk management.

Authors :
Wei Zhong
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