A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities

IF 1.5 4区经济学 Q3 BUSINESS, FINANCE

Quantitative Finance Pub Date : 2024-01-19 DOI:10.1080/14697688.2023.2300664

Zongxia Liang, Yang Liu, Ming Ma, Rahul Pothi Vinoth

引用次数: 0

Abstract

We propose a general family of piecewise hyperbolic absolute risk aversion (PHARA) utilities, including many classic and non-standard utilities as examples. A typical application is the composition...

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片状双曲绝对风险规避效用的最优投资组合统一公式

我们提出了片断双曲绝对风险规避（PHARA）效用的一般家族，其中包括许多经典和非标准效用的例子。其中一个典型的应用是...

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来源期刊

Quantitative Finance 社会科学-数学跨学科应用

CiteScore

3.20

自引率

7.70%

发文量

102

审稿时长

4-8 weeks

期刊介绍： The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.