{"title":"Short Communication: Utility-Based Acceptability Indices","authors":"Marcin Pitera, Miklós Rásonyi","doi":"10.1137/24m1632486","DOIUrl":null,"url":null,"abstract":"SIAM Journal on Financial Mathematics, Volume 15, Issue 2, Page SC28-SC40, June 2024. <br/> Abstract.This paper presents a novel class of performance measures that is constituted by certainty equivalents derived from scaled utility functions. We examine the characteristics of these measures and demonstrate that while most normative properties from the coherent acceptability framework are preserved, scale invariance is replaced by inverse positive homogeneity; this property is a specific type of subscale invariance. Additionally, we show that the introduced framework is suited for log-return portfolio optimization, as the corresponding problem admits a solution under generic conditions.","PeriodicalId":1,"journal":{"name":"Accounts of Chemical Research","volume":null,"pages":null},"PeriodicalIF":16.4000,"publicationDate":"2024-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Accounts of Chemical Research","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1137/24m1632486","RegionNum":1,"RegionCategory":"化学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"CHEMISTRY, MULTIDISCIPLINARY","Score":null,"Total":0}
引用次数: 0
Abstract
SIAM Journal on Financial Mathematics, Volume 15, Issue 2, Page SC28-SC40, June 2024. Abstract.This paper presents a novel class of performance measures that is constituted by certainty equivalents derived from scaled utility functions. We examine the characteristics of these measures and demonstrate that while most normative properties from the coherent acceptability framework are preserved, scale invariance is replaced by inverse positive homogeneity; this property is a specific type of subscale invariance. Additionally, we show that the introduced framework is suited for log-return portfolio optimization, as the corresponding problem admits a solution under generic conditions.
期刊介绍：
Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance.
Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.
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