Publications in Scientific Journals:

S. Källblad, T. Zariphopoulou:
"On the Black's equation for the risk tolerance function";
arXiv.org, submitted May (2017), 26 pages.

English abstract:
We analyze a nonlinear equation proposed by F. Black (1968) for the optimal portfolio function in a log-normal model. We cast it in terms of the risk tolerance function and provide, for general utility functions, existence, uniqueness and regularity results, and we also examine various monotonicity, concavity/convexity and S-shape properties. Stronger results are derived for utilities whose inverse marginal belongs to a class of completely monotonic functions.

Created from the Publication Database of the Vienna University of Technology.