{"title":"Portfolio optimization beyond utility maximization: the case of driftless markets","authors":"Jan Vecer, Mark Richard, Stephen Taylor","doi":"10.1080/1351847x.2024.2375221","DOIUrl":null,"url":null,"abstract":"This paper presents a novel perspective on portfolio optimization by recognizing that prices can be expressed as a scaled likelihood ratio of state price densities. This insight leads to the immedi...","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"30 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"The European Journal of Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1080/1351847x.2024.2375221","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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Abstract
This paper presents a novel perspective on portfolio optimization by recognizing that prices can be expressed as a scaled likelihood ratio of state price densities. This insight leads to the immedi...
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