collaborators

1 paper

q-fin.MF2021

A Unified Formula of the Optimal Portfolio for Piecewise Hyperbolic Absolute Risk Aversion Utilities

Zongxia Liang, Yang Liu, Ming Ma +1

We propose a general family of piecewise hyperbolic absolute risk aversion (PHARA) utilities, including many classic and non-standard utilities as examples. A typical application i…