Pages that link to "Item:Q5347544"

The following pages link to Optimal Control of Conditional Value-at-Risk in Continuous Time (Q5347544):

Displaying 13 items.

• Optimality conditions in variational form for non-linear constrained stochastic control problems (Q827552) (← links)
• The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors (Q2029065) (← links)
• A stochastic primal-dual method for optimization with conditional value at risk constraints (Q2046691) (← links)
• Risk-theoretic optimal design of output-feedback controllers via iterative convex relaxations (Q2063800) (← links)
• Risk-averse autonomous systems: a brief history and recent developments from the perspective of optimal control (Q2082497) (← links)
• On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration (Q2190063) (← links)
• Continuous-time portfolio optimization for absolute return funds (Q2686278) (← links)
• On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies (Q4988555) (← links)
• Stochastic Control of Optimized Certainty Equivalents (Q5097215) (← links)
• Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent? (Q5112727) (← links)
• Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts (Q5222157) (← links)
• Management of Portfolio Depletion Risk through Optimal Life Cycle Asset Allocation (Q5241945) (← links)
• Zero-sum stochastic games with the average-value-at-risk criterion (Q6081615) (← links)