TY  - JOUR
A1  - Geissel, Sebastian
A1  - Graf, Holger
A1  - Herbinger, Julia
A1  - Seifried, Frank T.
T1  - Portfolio optimization with optimal expected utility risk measures
T2  - Annals of Operations Research
N2  - The purpose of this article is to evaluate optimal expected utility risk measures (OEU) in a risk-constrained portfolio optimization context where the expected portfolio return is maximized. We compare the portfolio optimization with OEU constraint to a portfolio selection model using value at risk as constraint. The former is a coherent risk measure for utility functions with constant relative risk aversion and allows individual specifications to the investor’s risk attitude and time preference. In a case study with three indices, we investigate how these theoretical differences influence the performance of the portfolio selection strategies. A copula approach with univariate ARMA-GARCH models is used in a rolling forecast to simulate monthly future returns and calculate the derived measures for the optimization. The results of this study illustrate that both optimization strategies perform considerably better than an equally weighted portfolio and a buy and hold portfolio. Moreover, our results illustrate that portfolio optimization with OEU constraint experiences individualized effects, e.g., less risk-averse investors lose more portfolio value in the financial crises but outperform their more risk-averse counterparts in bull markets.
KW  - Portfoliomanagement
KW  - Value at Risk
KW  - Erwarteter Nutzen
KW  - optimal expected utility
KW  - portfolio optimization
KW  - risk measures
KW  - value at risk
Y1  - 2022
UR  - https://hst.opus.hbz-nrw.de/frontdoor/index/index/docId/107
UR  - https://nbn-resolving.org/urn:nbn:de:hbz:tr5-1071
VL  - 309
IS  - 1
SP  - 59
EP  - 77
PB  - Springer Nature
ER  -