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Decision-making of portfolio investment with linear plus double exponential utility function

Qingjian Zhou, Jia Jiao, Datian Niu, Deli Yang (2013)

RAIRO - Operations Research - Recherche Opérationnelle

This paper broadens the exponential utility function commonly used by risk-averse investors to the linear plus double exponential utility function, which is applicable in most cases. Thus it is of essential and supreme significance to conduct a research on its optimal investment portfolio in securities investment. This paper, by means of the non-difference curve method, carries out a research into the optimal portfolio decision-making by investors who have this type of utility function. The optimal...

Decomposition of large-scale stochastic optimal control problems

Kengy Barty, Pierre Carpentier, Pierre Girardeau (2010)

RAIRO - Operations Research

In this paper, we present an Uzawa-based heuristic that is adapted to certain type of stochastic optimal control problems. More precisely, we consider dynamical systems that can be divided into small-scale subsystems linked through a static almost sure coupling constraint at each time step. This type of problem is common in production/portfolio management where subsystems are, for instance, power units, and one has to supply a stochastic power demand at each time step. We outline the framework...

Discrete analysis of portfolio selection with optimal stopping time.

Liang, Jianfeng (2009)

Journal of Applied Mathematics and Decision Sciences

Discrete time risk sensitive portfolio optimization with consumption and proportional transaction costs

Łukasz Stettner (2005)

Applicationes Mathematicae

Risk sensitive and risk neutral long run portfolio problems with consumption and proportional transaction costs are studied. Existence of solutions to suitable Bellman equations is shown. The asymptotics of the risk sensitive cost when the risk factor converges to 0 is then considered. It turns out that optimal strategies are stationary functions of the portfolio (portions of the wealth invested in assets) and of economic factors. Furthermore an optimal portfolio strategy for a risk neutral control...

Dynamic monetary risk measures for bounded discrete-time processes.

Cheridito, Patrick, Delbaen, Freddy, Kupper, Michael (2006)

Electronic Journal of Probability [electronic only]

Dynamic portfolio optimization with risk management and strategy constraints

Csilla Krommerová, Igor Melicherčík (2014)

Kybernetika

We investigate the problem of power utility maximization considering risk management and strategy constraints. The aim of this paper is to obtain admissible dynamic portfolio strategies. In case the floor is guaranteed with probability one, we provide two admissible solutions, the option based portfolio insurance in the constrained model, and the alternative method and show that none of the solutions dominate the other. In case the floor is guaranteed partially, we provide one admissible solution,...