0
Views
0
CrossRef citations to date
0
Altmetric
Research Article

Portfolio optimization beyond utility maximization: the case of driftless markets

, &
Received 27 Mar 2023, Accepted 26 Jun 2024, Published online: 18 Jul 2024

References

  • Al-Najjar, N. I., and J. Weinstein. 2015. “A Bayesian Model of Knightian Uncertainty.” Theory and Decision 78 (1): 1–22. https://doi.org/10.1007/s11238-013-9404-1.
  • Arrow, K. J., and G. Debreu. 1954. “Existence of An Equilibrium for a Competitive Economy.” Econometrica: Journal of the Econometric Society 22 (3): 265–290. https://doi.org/10.2307/1907353.
  • Becherer, D. 2001. “The Numeraire Portfolio for Unbounded Semimartingales.” Finance and Stochastics 5 (3): 327–341. https://doi.org/10.1007/PL00013535.
  • Bernoulli, D. 1954. “Exposition of a New Theory on the Measurement of Risk.” Econometrica 22 (1): 23–36. https://doi.org/10.2307/1909829.
  • Black, F., and R. Litterman. 1992. “Global Portfolio Optimization.” Financial Analysts Journal 48 (5): 28–43. https://doi.org/10.2469/faj.v48.n5.28.
  • Cover, T. M., and J. A. Thomas. 2012. Elements of Information Theory. 2nd ed. Hoboken: John Wiley & Sons.
  • Da Fonseca, J., and E. Dawui. 2021. “Semivariance and Semiskew Risk Premiums in Currency Markets.” Journal of Futures Markets 41 (3): 290–324. https://doi.org/10.1002/fut.v41.3.
  • Davis, M. H., and S. Lleo. 2021. “Incorporating Views in Portfolio Optimization: A New Model and Comparative Study.” Quantitative Finance 21 (8): 1343–1362.
  • DeMiguel, V., L. Garlappi, and R. Uppal. 2009. “Optimal Versus Naive Diversification: How Inefficient is the 1−n Portfolio Strategy.” Review of Financial Studies 22 (5): 1915–1953. https://doi.org/10.1093/rfs/hhm075.
  • Dierckx, T., J. Davis, and W. Schoutens. 2022. “Trading the Fx Volatility Risk Premium with Machine Learning and Alternative Data.” The Journal of Finance and Data Science 8:162–179. https://doi.org/10.1016/j.jfds.2022.07.001.
  • Föllmer, H., and A. Schied. 2011. Stochastic Finance: An Introduction in Discrete Time. Berlin: Walter de Gruyter.
  • Fonseca, R. J., S. Zymler, W. Wiesemann, and B. Rustem. 2011. “Robust Optimization of Currency Portfolios.” The Journal of Computational Finance 15 (1): 3. https://doi.org/10.21314/JCF.2011.227.
  • Geman, H., N. El Karoui, and J.-C. Rochet. 1995. “Changes of Numeraire, Changes of Probability Measure and Option Pricing.” Journal of Applied Probability 32 (2): 443–458. https://doi.org/10.2307/3215299.
  • Gilboa, I., and D. Schmeidler. 1989. “Maxmin Expected Utility with Non-Unique Prior.” Journal of Mathematical Economics 18 (2): 141–153. https://doi.org/10.1016/0304-4068(89)90018-9.
  • Karatzas, I., and S. E. Shreve. 1998. Methods of Mathematical Finance. Vol. 39. New York: Springer.
  • Kelly, J. 1956. “A New Interpretation of Information Rate.” Bell System Technical Journal 35 (4): 917–926. https://doi.org/10.1002/bltj.1956.35.issue-4.
  • Korn, R., and M. Schäl. 1999. “Optimal Portfolios with Fixed Consumption Or Income Streams.” Mathematical Methods of Operations Research 50 (2): 337–355. https://doi.org/10.1007/s001860050095.
  • Kramkov, D., and W. Schachermayer. 1999. “The Asymptotic Elasticity of Utility Functions and Optimal Investment in Incomplete Markets.” Annals of Applied Probability 9:904–950. https://doi.org/10.1214/aoap/1029962818.
  • Markowitz, H. 1952. “Portfolio Selection.” Journal of Finance 7 (1): 77–91.
  • Merton, R. C. 1971. “Optimum Consumption and Portfolio Rules in a Continuous-Time Model.” Journal of Economic Theory 3 (4): 373–413. https://doi.org/10.1016/0022-0531(71)90038-X.
  • Navratil, R., S. Taylor, and J. Vecer. 2022. “On the Utility Maximization of the Discrepancy Between a Perceived and Market Implied Risk Neutral Distribution.” European Journal of Operational Research 302 (3): 1215–1229. https://doi.org/10.1016/j.ejor.2022.01.048.
  • Neyman, J., and E. S. Pearson. 1933. “Ix. On the Problem of the Most Efficient Tests of Statistical Hypotheses.” Philosophical Transactions of the Royal Society of London. Series A, Containing Papers of a Mathematical or Physical Character 231 (694-706): 289–337.
  • Pflug, G. C., A. Pichler, and D. Wozabal. 2012. “The 1/n Investment Strategy is Optimal Under High Model Ambiguity.” Journal of Banking & Finance 36 (2): 410–417. https://doi.org/10.1016/j.jbankfin.2011.07.018.
  • Rockafellar, R., and S. Uryasev. 2000. “Optimization of Conditional Value-at-Risk.” Journal of Risk 2:21–42. https://doi.org/10.21314/JOR.2000.038.
  • Sass, J., and D. Westphal. 2021. “Robust Utility Maximization in a Multivariate Financial Market with Stochastic Drift.” International Journal of Theoretical and Applied Finance 24 (4): 2150020. https://doi.org/10.1142/S0219024921500205.
  • Sass, J., and D. Westphal. 2022. “Robust Portfolio Optimization with Uncertain Liabilities.” Mathematics and Financial Economics 16 (1): 1–24. https://doi.org/10.1007/s11579-021-00300-6.
  • Schied, A. 2007. “Optimal Investments for Risk- and Ambiguity-Averse Preferences: A Duality Approach.” Finance and Stochastics 11 (1): 107–129. https://doi.org/10.1007/s00780-006-0024-2.
  • Shannon, C. E. 1948. “A Mathematical Theory of Communication.” The Bell System Technical Journal 27 (3): 379–423. https://doi.org/10.1002/bltj.1948.27.issue-3.
  • Vecer, J. 2011. Stochastic Finance: A Numeraire Approach. Boca Raton: CRC Press.