Portfolio optimization under entropic risk management

Authors
Citation
Zhong, Wei, Portfolio optimization under entropic risk management, Acta mathematica Sinica. English series (Print) , 25(7), 2009, pp. 1113-1130
ISSN journal
14398516
Volume
25
Issue
7
Year of publication
2009
Pages
1113 - 1130
Database
ACNP
SICI code
Abstract
In this paper, properties of the entropic risk measure are examined rigorously in a general framework. This risk measure is then applied in a dynamic portfolio optimization problem, appearing in the risk management constraint. By considering the dual problem, we prove the existence and uniqueness of the solution and obtain an analytic expression for the solution.