英文标题：
《Mean-Variance Efficiency of Optimal Power and Logarithmic Utility
Portfolios》
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作者：
Taras Bodnar, Dmytro Ivasiuk, Nestor Parolya and Wofgang Schmid
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最新提交年份：
2019
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英文摘要：
We derive new results related to the portfolio choice problem for power and logarithmic utilities. Assuming that the portfolio returns follow an approximate log-normal distribution, the closed-form expressions of the optimal portfolio weights are obtained for both utility functions. Moreover, we prove that both optimal portfolios belong to the set of mean-variance feasible portfolios and establish necessary and sufficient conditions such that they are mean-variance efficient. Furthermore, an application to the stock market is presented and the behavior of the optimal portfolio is discussed for different values of the relative risk aversion coefficient. It turns out that the assumption of log-normality does not seem to be a strong restriction.
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中文摘要：
我们得到了有关幂和对数效用的投资组合选择问题的新结果。假设投资组合收益服从近似对数正态分布，得到了两个效用函数的最优投资组合权重的闭式表达式。此外，我们证明了这两个最优投资组合都属于均值-方差可行投资组合集，并建立了均值-方差有效的充要条件。此外，本文还给出了一个在股票市场上的应用，并讨论了相对风险厌恶系数不同值下最优投资组合的行为。事实证明，对数正态性假设似乎不是一个很强的限制。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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