The optimal mean-variance investment strategy under value-at-risk constraints

DOI10.1016/j.insmatheco.2012.05.004zbMath1284.91535arXiv1011.4991OpenAlexW2082940395MaRDI QIDQ2445346

Tiantian Li, Jun Ye

Publication date: 14 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.4991

zbMATH Keywords

Hamilton-Jacobi-Bellman equationvalue-at-riskoptimal investment strategymean-variance portfolio

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (3)

Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints ⋮ Stochastic differential reinsurance and investment games with delay under VaR constraints⋆ ⋮ Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets

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