| Article ID: | iaor200971591 |
| Country: | Germany |
| Volume: | 70 |
| Issue: | 1 |
| Start Page Number: | 129 |
| End Page Number: | 148 |
| Publication Date: | Aug 2009 |
| Journal: | Mathematical Methods of Operations Research |
| Authors: | Zheng Harry |
| Keywords: | utility, value at risk |
We study the efficient frontier problem of maximizing the expected utility of terminal wealth and minimizing the conditional VaR of the utility loss. We establish the existence of the optimal solution with the convex duality analysis. We find the optimal value of the constrained problem with the sequential penalty function and the dynamic programming method.