Optimal portfolio choices under the SVCEV model with exponential utility

2021 ◽  
Author(s):  
Beidi Peng ◽  
Jiling Cao ◽  
Wenjun Zhang
Keyword(s):  
Optimal Portfolio ◽  
Exponential Utility ◽  
Portfolio Choices

scholarly journals Bayesian inference of the multi-period optimal portfolio for an exponential utility

2020 ◽  
Vol 175 ◽  
pp. 104544
Author(s):  
David Bauder ◽  
Taras Bodnar ◽  
Nestor Parolya ◽  
Wolfgang Schmid
Keyword(s):  
Bayesian Inference ◽  
Optimal Portfolio ◽  
Exponential Utility

scholarly journals Portfolio Optimization under Correlation Constraint

Risks ◽  
2020 ◽  
Vol 8 (1) ◽  
pp. 15
Author(s):  
Aditya Maheshwari ◽  
Traian A. Pirvu
Keyword(s):  
Portfolio Optimization ◽  
Financial Market ◽  
Lower Risk ◽  
Time Horizon ◽  
Optimal Portfolio ◽  
Exponential Utility ◽  
Portfolio Strategies ◽  
Utility Loss ◽  
The Cost ◽  
Analytical Expressions

We consider the problem of portfolio optimization with a correlation constraint. The framework is the multi-period stochastic financial market setting with one tradable stock, stochastic income, and a non-tradable index. The correlation constraint is imposed on the portfolio and the non-tradable index at some benchmark time horizon. The goal is to maximize a portofolio’s expected exponential utility subject to the correlation constraint. Two types of optimal portfolio strategies are considered: the subgame perfect and the precommitment ones. We find analytical expressions for the constrained subgame perfect (CSGP) and the constrained precommitment (CPC) portfolio strategies. Both these portfolio strategies yield significantly lower risk when compared to the unconstrained setting, at the cost of a small utility loss. The performance of the CSGP and CPC portfolio strategies is similar.

scholarly journals Optimal portfolio choices using financial leverage

2019 ◽  
Vol 72 (2) ◽  
pp. 146-166 ◽  
Author(s):  
Ricardo Laborda ◽  
Jose Olmo
Keyword(s):  
Optimal Portfolio ◽  
Financial Leverage ◽  
Portfolio Choices
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