Portfolio optimization under the Value-at-Risk constraint

DOI10.1080/14697680701213868zbMath1278.91149OpenAlexW2143299583MaRDI QIDQ3593595

Traian A. Pirvu

Publication date: 23 July 2007

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680701213868

zbMATH Keywords

portfolio optimizationvalue-at-riskutility functionsportfolio managementportfolio theory

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (12)

Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation ⋮ Maximizing expected exponential utility of consumption with a constraint on expected time in poverty ⋮ Optimal consumption-portfolio problem with CVaR constraints ⋮ Value-at-risk optimization using the difference of convex algorithm ⋮ Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading ⋮ Subgame-perfect equilibrium strategies for time-inconsistent recursive stochastic control problems ⋮ The optimal mean-variance investment strategy under value-at-risk constraints ⋮ Optimal investment under dynamic risk constraints and partial information ⋮ Optimal investment, consumption and retirement decision with disutility and borrowing constraints ⋮ A difference of convex formulation of value-at-risk constrained optimization ⋮ DYNAMIC PORTFOLIO SELECTION UNDER CAPITAL-AT-RISK WITH NO SHORT-SELLING CONSTRAINTS ⋮ Dynamic mean-risk optimization in a binomial model

Uses Software

• NPSOL

Cites Work

• Optimal portfolios under a value-at-risk constraint
• Hedging contingent claims with constrained portfolios
• A general version of the fundamental theorem of asset pricing
• Optimal Portfolios with Bounded Capital at Risk
• Optimal Dynamic Trading Strategies with Risk Limits
• Theory of optimal consumption and portfolio selection under a Capital-at-Risk (CaR) and a Value-at-Risk (VaR) constraint

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