Portfolio selection with probabilistic utility
نویسندگان
چکیده
منابع مشابه
Portfolio selection with probabilistic utility
We present a novel portfolio selection technique, which replaces the traditional maximization of the utility function with a probabilistic approach inspired by statistical physics. We no longer seek the single global extremum of some chosen utility function, but instead reinterpret the latter as a probability distribution of ‘optimal’ portfolios, and select the portfolio that is given by the me...
متن کاملUtility-Deviation-Risk Portfolio Selection
We here provide a comprehensive study of the utility-deviation-risk portfolio selectionproblem. By considering the first-order condition for the corresponding objective function, we firstderive the necessary condition that the optimal terminal wealth satisfying two mild regularity con-ditions solves for a primitive static problem, called Nonlinear Moment Problem. We then illustrate<...
متن کاملPortfolio Selection with Probabilistic Utility, Bayesian Statistics, and Markov Chain Monte Carlo
We propose a novel portfolio selection approach that manages to ease some of the problems that characterise standard expected utility maximisation. The optimal portfolio is no longer defined as the extremum of a suitably chosen utility function: the latter, instead, is reinterpreted as the logarithm of a probability distribution for optimal portfolios and the selected portfolio is defined as th...
متن کاملOptimal Consumption and Portfolio Selection with Stochastic Differential Utility
We develop the utility gradient (or martingale) approach for computing portfolio and consumption plans that maximize stochastic differential utility (SDU), a continuous-time version of recursive utility due to D. Duffie and L. Epstein (1992, Econometrica 60, 353 394). We characterize the first-order conditions of optimality as a system of forward backward SDEs, which, in the Markovian case, red...
متن کاملPortfolio selection in stochastic markets with exponential utility functions
We consider the optimal portfolio selection problem in a multiple period setting where the investor maximizes the expected utility of the terminal wealth in a stochastic market. The utility function has an exponential structure and the market states change according to a Markov chain. The states of the market describe the prevailing economic, financial, social and other conditions that affect t...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Annals of Operations Research
سال: 2006
ISSN: 0254-5330,1572-9338
DOI: 10.1007/s10479-006-0117-5