{"title":"超越效用最大化的投资组合优化：无漂移市场的案例","authors":"Jan Vecer, Mark Richard, Stephen Taylor","doi":"10.1080/1351847x.2024.2375221","DOIUrl":null,"url":null,"abstract":"This paper presents a novel perspective on portfolio optimization by recognizing that prices can be expressed as a scaled likelihood ratio of state price densities. This insight leads to the immedi...","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"30 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Portfolio optimization beyond utility maximization: the case of driftless markets\",\"authors\":\"Jan Vecer, Mark Richard, Stephen Taylor\",\"doi\":\"10.1080/1351847x.2024.2375221\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper presents a novel perspective on portfolio optimization by recognizing that prices can be expressed as a scaled likelihood ratio of state price densities. This insight leads to the immedi...\",\"PeriodicalId\":22468,\"journal\":{\"name\":\"The European Journal of Finance\",\"volume\":\"30 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-07-18\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"The European Journal of Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1080/1351847x.2024.2375221\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"The European Journal of Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1080/1351847x.2024.2375221","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Portfolio optimization beyond utility maximization: the case of driftless markets
This paper presents a novel perspective on portfolio optimization by recognizing that prices can be expressed as a scaled likelihood ratio of state price densities. This insight leads to the immedi...
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