Entropy Coherent and Entropy Convex Measures of Risk - Eurandom
Entropy Coherent and Entropy Convex Measures of Risk - Eurandom
Entropy Coherent and Entropy Convex Measures of Risk - Eurandom
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Portfolio Optimization <strong>and</strong> Indifference Valuation [2]<br />
◮ Using BSDEs, we solve explicitly the following optimization problem:<br />
ˆV γ (x) := sup<br />
inf<br />
Q∈M<br />
π∈Ã<br />
−γ logEQexp− 1<br />
γx +T<br />
0<br />
dSt<br />
πt<br />
St−<br />
+ F,<br />
where x is the initial wealth, the process π i t describes the amount <strong>of</strong> money<br />
invested in stock i at time t, <strong>and</strong> M is a set <strong>of</strong> measures equivalent to P.<br />
◮ Note the generality: robust, constraints <strong>and</strong> jumps.<br />
<strong>Entropy</strong> <strong>Coherent</strong> <strong>and</strong> <strong>Entropy</strong> <strong>Convex</strong> <strong>Measures</strong> <strong>of</strong> <strong>Risk</strong> Advances in Financial Mathematics, Eur<strong>and</strong>om, Eindhoven 39/40
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