Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time (Q321015): Difference between revisions

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+Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
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+Coherent Measures of Risk
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+CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
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+Multiobjective optimization. Interactive and evolutionary approaches
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+Optimal multi-period mean-variance policy under no-shorting constraint
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+BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
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+Handling CVaR objectives and constraints in two-stage stochastic models
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+Solving two-stage stochastic programming problems with level decomposition
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+Portfolio selection under distributional uncertainty: a relative robust CVaR approach
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+Continuous-time mean-risk portfolio selection
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+years of portfolio optimization: practical challenges and current trends
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+Computational aspects of minimizing conditional value-at-risk
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+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
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+Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
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+A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
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+Mean-risk models using two risk measures: a multi-objective approach
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+Safety First and the Holding of Assets
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+Optimal portfolios under a value-at-risk constraint
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+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
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+Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
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+Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
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