Portfolio selection based on a benchmark process with dynamic value-at-risk constraints (Q344301): Difference between revisions

@@ Property / author @@
-Yan Gao
@@ Property / author: Yan Gao / rank @@
-Normal rank
@@ Property / author @@
+Yan Gao
@@ Property / author: Yan Gao / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+C39
@@ Property / Mathematics Subject Classification ID: 90C39 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G70
@@ Property / Mathematics Subject Classification ID: 91G70 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6655217
@@ Property / zbMATH DE Number: 6655217 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+benchmark process
@@ Property / zbMATH Keywords: benchmark process / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Hamilton-Jacobi-Bellman (HJB) equation
@@ Property / zbMATH Keywords: Hamilton-Jacobi-Bellman (HJB) equation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+dynamic value-at-risk (VaR)
@@ Property / zbMATH Keywords: dynamic value-at-risk (VaR) / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Lagrange multiplier method
@@ Property / zbMATH Keywords: Lagrange multiplier method / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.cam.2016.10.001
+Normal rank
@@ Property / OpenAlex ID @@
+W2535549511
@@ Property / OpenAlex ID: W2535549511 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal portfolios under a value-at-risk constraint
+Normal rank
@@ Property / cites work @@
+Optimal strategies for asset allocation and consumption under stochastic volatility
+Normal rank
@@ Property / cites work @@
+Portfolio selection problem with value-at-risk constraints under non-extensive statistical mechanics
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic Trading Strategies with Risk Limits
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
+Normal rank
@@ Property / cites work @@
+Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon
+Normal rank
@@ Property / cites work @@
+Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate
+Normal rank
@@ Property / cites work @@
+Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
+Normal rank
@@ Property / cites work @@
+Optimal portfolio selection and dynamic benchmark tracking
+Normal rank
@@ Property / cites work @@
+Risk Management with Benchmarking
@@ Property / cites work: Risk Management with Benchmarking / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal portfolio on tracking the expected wealth process with liquidity constraints
+Normal rank
@@ Property / cites work @@
+Portfolio selection problem with liquidity constraints under non-extensive statistical mechanics
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:344301