This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the expected utility from terminal wealth under a...

Maximizing the expected logarithmic utility, or equivalently the geometric mean, of a portfolio is a well-known yet controversially discussed objective. Nonetheless, it is an often used objective function for computing real-world portfolios and in particular it met a great amount of sympathy in...

We study a dynamic portfolio selection problem in which an agent trades a stock and a risk-free asset with the objective of maximizing the rank-dependent utility of her wealth at the terminal time of the investment horizon. Due to time inconsistency, we consider three types of agents,...

The presence of options in a portfolio fundamentally alters the portfolio's risk and return profiles when compared to an all equity portfolio. In this paper, we advocate modeling a risk-based criterion for optioned portfolio selection and rebalancing problems. The criterion is inspired by...

We directly optimize portfolio weights as a function of firm characteristics via deep neural networks by generalizing the parametric portfolio policy framework. Our results show that network-based portfolio policies result in an increase of investor utility of between 30 and 100 percent over a...

In this study, a new uncertain portfolio optimization model is proposed that is capable to be employed in the presence of fuzzy data and linguistic variables. It should be noted that mean (return), absolute deviation (non-systematic risk measure), and beta (systematic risk measure) as well as...