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Decisions in Economics and Finance

Erschienen in:

20.10.2017

Approximating exact expected utility via portfolio efficient frontiers

verfasst von: Alessandra Carleo, Francesco Cesarone, Andrea Gheno, Jacopo Maria Ricci

Erschienen in: Decisions in Economics and Finance | Ausgabe 1-2/2017

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Abstract

Expected utility theory is nowadays accepted as the standard for rational choice among risky assets. However, as Harry Markowitz recently pointed out, the problem of how the maximum expected utility along the risk–return portfolio efficient frontiers approximates the exact maximum expected utility is still open. This paper shows that some popular risk–return models are actually able to approximate expected utility maximization with respect to classical and new distance measures. It also analyzes the ability of the whole risk–return efficient frontiers to approximate the exact one. Our empirical analysis is based on recent publicly available real-world data sets.

Vorheriger Artikel Necessary conditions for nonsmooth multiobjective semi-infinite problems using Michel–Penot subdifferential

Nächster Artikel Pseudoconvexity on a closed convex set: an application to a wide class of generalized fractional functions

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Titel: Approximating exact expected utility via portfolio efficient frontiers
verfasst von: Alessandra Carleo
Francesco Cesarone
Andrea Gheno
Jacopo Maria Ricci
Publikationsdatum: 20.10.2017
Verlag: Springer Milan
Erschienen in: Decisions in Economics and Finance / Ausgabe 1-2/2017
Print ISSN: 1593-8883
Elektronische ISSN: 1129-6569
DOI: https://doi.org/10.1007/s10203-017-0201-0

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