Quotation Rudloff, Birgit, Sass, Jörn, Wunderlich, Ralf. 2008. Entropic Risk Constraints for Utility Maximization. In: Festschrift in Celebration of Prof. Dr. Wilfried Grecksch's 60th Birthday, Hrsg. Chr. Tammer, F. Heyde, S. 149-180. Aachen: Shaker.




We consider the optimal selection of portfolios for utility maximizing investors under joint budget and risk constraints. The risk is measured in terms of entropic risk which is a convex risk measure. Stock returns satisfy a stochastic differential equation where we assume partial information on the drift. Under general conditions on the corresponding drift process we provide the optimal trading strategy using Malliavin calculus. We give numerical results for power utility and a model where the drift is a Markov process with finitely many states.


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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Chapter in edited volume
Language English
Title Entropic Risk Constraints for Utility Maximization
Title of whole publication Festschrift in Celebration of Prof. Dr. Wilfried Grecksch's 60th Birthday
Editor Chr. Tammer, F. Heyde
Page from 149
Page to 180
Location Aachen
Publisher Shaker
Year 2008
Reviewed? Y
URL http://www.princeton.edu/~brudloff/RudloffSassWunderlich08.pdf
ISBN 978-3-8322-7500-6


Rudloff, Birgit (Details)
Sass, Jörn (University of Kaiserslautern, Germany)
Wunderlich, Ralf (Zwickau University of Applied Sciences, Germany)
Institute for Statistics and Mathematics IN (Details)
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