Risk management with multiple VaR constraints (Q1616838): Difference between revisions

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+Risk Management with Benchmarking
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+Normal rank
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+PORTFOLIO MANAGEMENT WITH CONSTRAINTS
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+Optimal investment under VaR-regulation and minimum insurance
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+Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
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+Optimal Dynamic Trading Strategies with Risk Limits
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+Convex duality in constrained portfolio optimization
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+Utility maximization under a shortfall risk constraint
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+A dynamic programming approach to constrained portfolios
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+Optimal capital growth with convex shortfall penalties
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+Optimal portfolio policies under bounded expected loss and partial information
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+Optimal selection of a portfolio of options under value-at-risk constraints: a scenario approach
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+Comonotonic approximation to periodic investment problems under stochastic drift
+Normal rank
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+Optimal portfolios under a value-at-risk constraint
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