Title :
Optimal Portfolios with Power and Log Utilities
Author :
Xu, Yongjia ; Lai, Yongzeng ; Xi, Xiaojing
Author_Institution :
Coll. of Econ. & Stat., Guangdong Univ. of Bus. Studies, Guangzhou, China
Abstract :
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.
Keywords :
Gaussian processes; optimisation; risk management; utility theory; Gaussian model; capital-at-risk; earning-at-risk; log utility function; optimal portfolios; portfolio optimization problem; power utility function; risk measure; Ear; Finance; Investments; Optimization; Portfolios; Reactive power; Security; Gaussian asset price model; capital-at-risk; earning-at-risk; log utility; optimal portfolio; power utility; value-at-risk;
Conference_Titel :
Computational Sciences and Optimization (CSO), 2011 Fourth International Joint Conference on
Conference_Location :
Yunnan
Print_ISBN :
978-1-4244-9712-6
Electronic_ISBN :
978-0-7695-4335-2
DOI :
10.1109/CSO.2011.188
