Portfolio Optimization under Entropic Risk Management  

作　　者：Wei ZHONG 

机构地区：[1]Department of Finance and Control Science, School of Mathematical Sciences, Fudan University, Shanghai 200433, China

出　　处：《Acta Mathematica Sinica,English Series》2009年第7期1113-1130,共18页数学学报（英文版）

基　　金：Supported in part by Graduate Innovation Fund (Grant No. EYH1411027);NSFC (Grant No. 10325101);Basic Research Program of China (973 Program, Grant No. 2007CB814904)

摘　　要：framework in the risk uniqueness In this paper, properties of the entropic risk measure are examined rigorously in a general This risk measure is then applied in a dynamic portfolio optimization problem, appearing management constraint. By considering the dual problem, we prove the existence and of the solution and obtain an analytic expression for the solution.framework in the risk uniqueness In this paper, properties of the entropic risk measure are examined rigorously in a general This risk measure is then applied in a dynamic portfolio optimization problem, appearing management constraint. By considering the dual problem, we prove the existence and of the solution and obtain an analytic expression for the solution.

关 键 词：entropic risk measure portfolio optimization risk management 

分 类 号：O224[理学—运筹学与控制论] F832.33[理学—数学]