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...

The purpose of this article is to evaluate optimal expected utility risk measures (OEU) in a risk- constrained portfolio optimization context where the expected portfolio return is maximized. We compare the portfolio optimization with OEU constraint to a portfolio selection model using value at...