A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities-Reference-Cited by-同舟云学术

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A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities

Published:2024-01-19 Issue:2 Volume:24 Page:281-303
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Liang Zongxia¹,Liu Yang²^ORCID,Ma Ming³,Vinoth Rahul Pothi⁴

Affiliation:

1. Department of Mathematical Sciences, Tsinghua University, Beijing 100084, People's Republic of China

2. Division of Mathematics, School of Science and Engineering, The Chinese University of Hong Kong, Shenzhen, Guangdong 518172, People's Republic of China

3. Hangzhou Higgs Asset Management Co., Ltd., Hangzhou, Zhejiang 310000, People's Republic of China

4. Department of Economics, UC Berkeley, Berkeley, CA 94720, USA

Funder

National Natural Science Foundation of China

Chinese University of Hong Kong

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2023.2300664

Reference33 articles.

1. Portfolio selection with tail nonlinearly transformed risk measures—a comparison with mean-CVaR analysis

2. Optimal Portfolio Choice under Loss Aversion

3. Optimal strategies under Omega ratio

4. Portfolio optimization under convex incentive schemes

5. Approximated Convex Envelope of a Function

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