with recursive utility of Epstein-Zin type. Focusing on the empirically relevant specification where both risk aversion and … backward stochastic differential equations. The supperdifferential of indirect utility is also obtained, meeting demands from … applications in which Epstein-Zin utilities were used to resolve several asset pricing puzzles. The empirically relevant utility …

Maximizing the expected logarithmic utility, or equivalently the geometric mean, of a portfolio is a well-known yet … continuous variable is inappropriate. We will focus on how to solve the utility maximization problem in the presence of discrete … experiment conducted for the German stock market. Our approach generalizes to other utility functions satisfying some mild …

divergence preferences (cf. Maccheroni et al. 2006) and optimal portfolios generated by classical expected utility. As a special … case we connect optimization of truncated quadratic utility (cf. Cerny 2003) to the optimal monotone mean …

Index tracking aims at determining an optimal portfolio that replicates the performance of an index or benchmark by ….e., invest in a smaller number of constituents than the index, have low turnover and low transaction costs, and should avoid … Mixed Integer Quadratic Programming (MIQP) formulation for the constrained index tracking problem with the UCITS rules …

accuracy, excess return, and portfolio correlation with the index and the market. Performance is evaluated considering … empirical distributions of excess return, final wealth and correlations of the portfolio with the index and the market. The …