Utility-based acceptability indices
Risk Management
2023-10-04 v1 Optimization and Control
Portfolio Management
Abstract
In this short paper we introduce a new class of performance measures based on certainty equivalents defined via scaled utility functions. We analyse their properties, show that the corresponding portfolio optimization problem is well-posed under generic conditions, and analyse the link between portfolio dynamics, benchmark process, and utility function choice in the long-run setting.
Keywords
Cite
@article{arxiv.2310.02014,
title = {Utility-based acceptability indices},
author = {Marcin Pitera and Miklós Rásonyi},
journal= {arXiv preprint arXiv:2310.02014},
year = {2023}
}