简短交流：基于效用的可接受性指数

IF 1.4 4区经济学 Q3 BUSINESS, FINANCE

SIAM Journal on Financial Mathematics Pub Date : 2024-05-14 DOI:10.1137/24m1632486

Marcin Pitera, Miklós Rásonyi

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引用次数: 0

摘要

SIAM 金融数学期刊》，第 15 卷第 2 期，第 SC28-SC40 页，2024 年 6 月。摘要.本文提出了一类新的绩效度量，它是由按比例效用函数导出的确定性等价物构成的。我们研究了这些测量指标的特征，并证明虽然一致性可接受性框架中的大多数规范属性都得到了保留，但尺度不变性被逆正同质性所取代；这一属性是子尺度不变性的一种特殊类型。此外，我们还证明了所引入的框架适用于对数收益组合优化，因为相应的问题在一般条件下是可以解决的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Short Communication: Utility-Based Acceptability Indices

SIAM Journal on Financial Mathematics, Volume 15, Issue 2, Page SC28-SC40, June 2024.
Abstract.This paper presents a novel class of performance measures that is constituted by certainty equivalents derived from scaled utility functions. We examine the characteristics of these measures and demonstrate that while most normative properties from the coherent acceptability framework are preserved, scale invariance is replaced by inverse positive homogeneity; this property is a specific type of subscale invariance. Additionally, we show that the introduced framework is suited for log-return portfolio optimization, as the corresponding problem admits a solution under generic conditions.

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来源期刊

SIAM Journal on Financial Mathematics MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-

CiteScore

2.30

自引率

10.00%

发文量

期刊介绍： SIAM Journal on Financial Mathematics (SIFIN) addresses theoretical developments in financial mathematics as well as breakthroughs in the computational challenges they encompass. The journal provides a common platform for scholars interested in the mathematical theory of finance as well as practitioners interested in rigorous treatments of the scientific computational issues related to implementation. On the theoretical side, the journal publishes articles with demonstrable mathematical developments motivated by models of modern finance. On the computational side, it publishes articles introducing new methods and algorithms representing significant (as opposed to incremental) improvements on the existing state of affairs of modern numerical implementations of applied financial mathematics.