A Robust Markowitz Mean-Variance Portfolio Selection Model with an Intractable Claim

DOI10.1137/15M1016357zbMath1368.91165OpenAlexW2324566250MaRDI QIDQ2797756

Danlin Hou, Zuo Quan Xu

Publication date: 31 March 2016

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/15m1016357

zbMATH Keywords

insurancebackground riskquantile formulationrobust control problembehavioral finance modelcontinuous-time mean-variance problemintractable claim

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (11)

Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory ⋮ Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk ⋮ Optimal insurance design with a bonus ⋮ Robust utility maximisation with intractable claims ⋮ Relative Growth Rate Optimization Under Behavioral Criterion ⋮ Continuous-time Markowitz's model with constraints on wealth and portfolio ⋮ Mean-Variance Portfolio Selection for Partially Observed Point Processes ⋮ A Mean-Variance Approach to Capital Investment Optimization ⋮ Dual utilities on risk aggregation under dependence uncertainty ⋮ A discrete-time mean-field stochastic linear-quadratic optimal control problem with financial application ⋮ \(g\)-expectation of distributions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A new characterization of comonotonicity and its application in behavioral finance
• The demand for a risky asset in the presence of a background risk
• Risk taking with additive and multiplicative background risks
• The mean-variance investment problem in a constrained financial market
• Maximum principle for stochastic differential games with partial information
• Mean-variance hedging in continuous time
• Mean-variance hedging for general claims
• The concept of comonotonicity in actuarial science and finance: theory.
• The concept of comonotonicity in actuarial science and finance: applications.
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Mean-variance hedging via stochastic control and BSDEs for general semimartingales
• Optimal stopping under probability distortion
• Cone-constrained continuous-time Markowitz problems
• Quadratic minimization with portfolio and terminal wealth constraints
• Continuous-time portfolio selection under ambiguity
• Optimal multi-period mean-variance policy under no-shorting constraint
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• PORTFOLIO CHOICE VIA QUANTILES
• CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
• Continuous-Time Markowitz's Model with Transaction Costs
• Mean-Variance Hedging When There Are Jumps
• Convex duality in constrained mean-variance portfolio optimization
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints
• Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
• Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection
• Mean‐Variance Portfolio Selection under Partial Information
• Robust Portfolio Selection Problems
• Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market

This page was built for publication: A Robust Markowitz Mean-Variance Portfolio Selection Model with an Intractable Claim