Work

Utility-based acceptability indices

Year: 2023

Type: preprint

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.

Source: RePEc: Research Papers in Economics

DOI: 10.48550/arxiv.2310.02014

Authors: Pitera, Marcin, Rásonyi, Miklós

Institution: Jagiellonian University

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

Funders: Nemzeti Kutatási Fejlesztési és Innovációs Hivatal, National Research, Development and Innovation Office

Award: G716724928

OpenAlex ID: W4387356151

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