Efficient frontier of utility and CVaR

We study the efficient frontier problem of maximizing the expected utility of terminal wealth and minimizing the conditional VaR of the utility loss. We establish the existence of the optimal solution with the convex duality analysis. We find the optimal value of the constrained problem with the sequential penalty function and the dynamic programming method. Copyright Springer-Verlag 2009

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Year of publication:	2009
Authors:	Zheng, Harry
Published in:	Mathematical Methods of Operations Research. - Springer. - Vol. 70.2009, 1, p. 129-148
Publisher:	Springer
Subject:	Efficient frontier of utility and CVaR \| Existence of optimal solutions \| State/control constraints \| Sequential penalty functions \| Dynamic programming

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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