标题： 基于加权熵风险度量的风险控制最优投资 显示英文标题

标题： Optimal Investment with Risk Controlled by Weighted Entropic Risk Measures

摘要： 一种与二阶随机占优一致且对于独立随机变量之和具有可加性的风险度量可以表示为加权熵风险度量（WERM）。 本文研究了通过WERM控制风险的期望效用最大化问题及相关风险最小化问题。 后者等同于最大化常绝对风险厌恶（CARA）确定等价物的加权平均的问题。 所有优化问题的解都被明确表征，并提供了求解的迭代方法。 显示英文摘要

摘要： A risk measure that is consistent with the second-order stochastic dominance and additive for sums of independent random variables can be represented as a weighted entropic risk measure (WERM). The expected utility maximization problem with risk controlled by WERM and a related risk minimization problem are investigated in this paper. The latter is same to a problem of maximizing a weighted average of constant-absolute-risk-aversion (CARA) certainty equivalents. The solutions of all the optimization problems are explicitly characterized and an iterative method of the solutions is provided.