Optimal portfolio policies under bounded expected loss and partial information

DOI10.1007/s00186-010-0300-yzbMath1209.91151OpenAlexW2080292957MaRDI QIDQ5962146

Ralf Wunderlich, Jörn Sass

Publication date: 21 September 2010

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-010-0300-y

zbMATH Keywords

filteringportfolio optimizationutility maximizationexpected shortfallrisk constrainttracking error

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (10)

Risk management with multiple VaR constraints ⋮ Exact and approximate hidden Markov chain filters based on discrete observations ⋮ Efficient frontier of utility and CVaR ⋮ Constrained non-concave utility maximization: an application to life insurance contracts with guarantees ⋮ Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time ⋮ OPTIMAL INVESTMENT UNDER PARTIAL INFORMATION AND ROBUST VAR-TYPE CONSTRAINT ⋮ PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS ⋮ Optimal investment under partial information ⋮ Martingale Approach to Optimal Portfolio-Consumption Problems in Markov-Modulated Pure-Jump Models ⋮ Optimal investment and consumption under partial information

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