Optimal Portfolios with Power and Log Utilities

摘要：

This paper discusses portfolio optimization problems under Gaussian models using Capital-at-Risk and Earning-at-Risk as risk measures with power and log utilities. Explicit expressions of Capital-at-Risk and Earning-at-Risk for both utility functions are obtained, so are conditions satisfied by the corresponding optimal portfolios.

关键词： Gaussian asset price model power utility log utility value-at-risk capital-at-risk earning-at-risk optimal portfolio

作者: Yongjia Xu Yongzeng Lai Xiaojing Xi

作者单位: College of Economics and Statistics Guangdong University of Business Studies Guangzhou, PR China Department of Mathematics Wilfrid Laurier University Waterloo, ON, N2L 3C5, Canada Department of Applied Mathematics University of Western Ontario London, Ontario, N6A 5B7, Canada

会议类型: 国际会议

会议名称: The Fourth International Joint Conference on Computational Science and Optimization(第四届计算科学与优化国际大会 CSO 2011)

会议地点: 昆明、丽江

会议语种:英文

页码: 1271-1275

在线出版日期: 2011-04-15（万方平台首次上网日期，不代表论文的发表时间）