Non-concave portfolio optimization with average value-at-risk (Q6113171): Difference between revisions

@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+OPTIMAL INSURANCE DESIGN UNDER RANK‐DEPENDENT EXPECTED UTILITY
+Normal rank
@@ Property / cites work @@
+Constrained non-concave utility maximization: an application to life insurance contracts with guarantees
+Normal rank
@@ Property / cites work @@
+Optimal investment under VaR-regulation and minimum insurance
+Normal rank
@@ Property / cites work @@
+Risk management with multiple VaR constraints
@@ Property / cites work: Risk management with multiple VaR constraints / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal consumption and portfolio policies when asset prices follow a diffusion process
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic Trading Strategies with Risk Limits
+Normal rank
@@ Property / cites work @@
+Portfolio insurance under a risk-measure constraint
+Normal rank
@@ Property / cites work @@
+Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan
+Normal rank
@@ Property / cites work @@
+Stochastic finance. An introduction in discrete time.
+Normal rank
@@ Property / cites work @@
+PORTFOLIO CHOICE VIA QUANTILES
@@ Property / cites work: PORTFOLIO CHOICE VIA QUANTILES / rank @@
+Normal rank
@@ Property / cites work @@
+BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
@@ Property / cites work: BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME / rank @@
+Normal rank
@@ Property / cites work @@
+BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
@@ Property / cites work: BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME / rank @@
+Normal rank
@@ Property / cites work @@
+On the Measurement of Economic Tail Risk
@@ Property / cites work: On the Measurement of Economic Tail Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts
+Normal rank
@@ Property / cites work @@
+Utility maximization with a given pricing measure when the utility is not necessarily concave
+Normal rank
@@ Property / cites work @@
+On the construction of optimal payoffs
@@ Property / cites work: On the construction of optimal payoffs / rank @@
+Normal rank
@@ Property / cites work @@
+Advances in prospect theory: cumulative representation of uncertainty
+Normal rank
@@ Property / cites work @@
+Risk management with weighted VaR
@@ Property / cites work: Risk management with weighted VaR / rank @@
+Normal rank
@@ Property / cites work @@
+Risk management with expected shortfall
@@ Property / cites work: Risk management with expected shortfall / rank @@
+Normal rank
@@ Property / cites work @@
+A NOTE ON THE QUANTILE FORMULATION
@@ Property / cites work: A NOTE ON THE QUANTILE FORMULATION / rank @@
+Normal rank