Optimal multivariate financial decision making

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Standard

Optimal multivariate financial decision making. / Bernard, C.; De Gennaro Aquino, L.; Vanduffel, S.

I: European Journal of Operational Research, Bind 307, Nr. 1, 2023, s. 468-483.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Bernard, C, De Gennaro Aquino, L & Vanduffel, S 2023, 'Optimal multivariate financial decision making', European Journal of Operational Research, bind 307, nr. 1, s. 468-483. https://doi.org/10.1016/j.ejor.2022.09.017

APA

Bernard, C., De Gennaro Aquino, L., & Vanduffel, S. (2023). Optimal multivariate financial decision making. European Journal of Operational Research, 307(1), 468-483. https://doi.org/10.1016/j.ejor.2022.09.017

Vancouver

Bernard C, De Gennaro Aquino L, Vanduffel S. Optimal multivariate financial decision making. European Journal of Operational Research. 2023;307(1):468-483. https://doi.org/10.1016/j.ejor.2022.09.017

Author

Bernard, C. ; De Gennaro Aquino, L. ; Vanduffel, S. / Optimal multivariate financial decision making. I: European Journal of Operational Research. 2023 ; Bind 307, Nr. 1. s. 468-483.

Bibtex

@article{ecaf1dced4e94d379d4f29b9d43ab52c,
title = "Optimal multivariate financial decision making",
abstract = "Agents who pursue optimal portfolio choice by optimizing a univariate objective (e.g., an expected utility) obtain optimal payoffs that are increasing with each other (situation of no diversification). This situation may lead to an undesirable level of systemic risk for society. A regulator may consider a global perspective and aim to enforce diversification among the various portfolios by optimizing a suitable multivariate objective. We explain that optimal solutions satisfy a notion of multivariate cost-efficiency and provide an algorithm to obtain multivariate cost-efficient payoffs. We also assess the cost of diversification and provide the strategy that the regulator should pursue for obtaining the desired level of diversification.",
keywords = "Cost-efficiency, Decision analysis, Diversification, Multivariate preferences, Systemic risk",
author = "C. Bernard and {De Gennaro Aquino}, L. and S. Vanduffel",
note = "Publisher Copyright: {\textcopyright} 2022 Elsevier B.V.",
year = "2023",
doi = "10.1016/j.ejor.2022.09.017",
language = "English",
volume = "307",
pages = "468--483",
journal = "European Journal of Operational Research",
issn = "0377-2217",
publisher = "Elsevier",
number = "1",

}

RIS

TY - JOUR

T1 - Optimal multivariate financial decision making

AU - Bernard, C.

AU - De Gennaro Aquino, L.

AU - Vanduffel, S.

N1 - Publisher Copyright: © 2022 Elsevier B.V.

PY - 2023

Y1 - 2023

N2 - Agents who pursue optimal portfolio choice by optimizing a univariate objective (e.g., an expected utility) obtain optimal payoffs that are increasing with each other (situation of no diversification). This situation may lead to an undesirable level of systemic risk for society. A regulator may consider a global perspective and aim to enforce diversification among the various portfolios by optimizing a suitable multivariate objective. We explain that optimal solutions satisfy a notion of multivariate cost-efficiency and provide an algorithm to obtain multivariate cost-efficient payoffs. We also assess the cost of diversification and provide the strategy that the regulator should pursue for obtaining the desired level of diversification.

AB - Agents who pursue optimal portfolio choice by optimizing a univariate objective (e.g., an expected utility) obtain optimal payoffs that are increasing with each other (situation of no diversification). This situation may lead to an undesirable level of systemic risk for society. A regulator may consider a global perspective and aim to enforce diversification among the various portfolios by optimizing a suitable multivariate objective. We explain that optimal solutions satisfy a notion of multivariate cost-efficiency and provide an algorithm to obtain multivariate cost-efficient payoffs. We also assess the cost of diversification and provide the strategy that the regulator should pursue for obtaining the desired level of diversification.

KW - Cost-efficiency

KW - Decision analysis

KW - Diversification

KW - Multivariate preferences

KW - Systemic risk

UR - http://www.scopus.com/inward/record.url?scp=85139734758&partnerID=8YFLogxK

U2 - 10.1016/j.ejor.2022.09.017

DO - 10.1016/j.ejor.2022.09.017

M3 - Journal article

AN - SCOPUS:85139734758

VL - 307

SP - 468

EP - 483

JO - European Journal of Operational Research

JF - European Journal of Operational Research

SN - 0377-2217

IS - 1

ER -

ID: 323556274