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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

169,051 papers · 148 categories

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1 result for “CVaRD”
Expected Utility Maximization and Conditional Value-at-Risk Deviation-based Sharpe Ratio in Dynamic Stochastic Portfolio Optimizationq-fin.PM

The paper optimizes dynamic portfolios using utility maximization and risk measures.

problem Maximizing expected utility in dynamic stochastic portfolio optimization.
method Solves a dynamic stochastic portfolio optimization problem numerically using evolutionary Hamilton-Jacobi-Bellman equations and Riccati transformations.
result Defines and computes the Conditional Value-at-Risk deviation (CVaRD) based Sharpe ratio for risk-adjusted performance.
portfolio optimizationdynamic stochasticexpected utility maximizationrisk measuresCVaRD
2018-10-27abs ↗pdf ↗