34 citations · 46 across the 17 of their papers we have counts for
3 papers · 1 filter
Two-fund separation under hyperbolically distributed returns and concave utility functions
Nuerxiati Abudurexiti, Erhan Bayraktar, Takaki Hayashi +1
Portfolio selection problems that optimize expected utility are usually difficult to solve. If the number of assets in the portfolio is large, such expected utility maximization pr…
Exponential utility maximization in small/large financial markets
Miklós Rásonyi, Hasanjan Sayit
Obtaining utility maximizing optimal portfolios in closed form is a challenging issue when the return vector follows a more general distribution than the normal one. In this note,…
Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models
Nuerxiati Abudurexiti, Kai He, Dongdong Hu +3
The paper Zhao et al. (2015) shows that mean-CVaR-skewness portfolio optimization problems based on asymetric Laplace (AL) distributions can be transformed into quadratic optimizat…