CONSTRAINED OPTIMIZATION WITH RESPECT TO STOCHASTIC DOMINANCE: APPLICATION TO PORTFOLIO INSURANCE

DOI10.1111/J.1467-9965.2006.00263.XMaRDI QIDQ5472779zbMATH OpenOpenAlexFDO

Authors Nicole El Karoui, Asma Meziou

Publication date 12 June 2006

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.2006.00263.x

zbMATH Keywords

American optionsconcave stochastic orderingportfolio optimization with constraintsSnell envelopesupermartingale

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 605729 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
• Optimal portfolio management with American capital guarantee
• Optimization of consumption with labor income

Cited in

(14)

• On variant reflected backward SDEs, with applications
• Long-term optimal portfolios with floor
• A smoothing algorithm for a new two-stage stochastic model of supply chain based on sample average approximation
• Finite time Merton strategy under drawdown constraint: a viscosity solution approach
• Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
• Portfolio Optimization with Risk Control by Stochastic Dominance Constraints
• Sample average approximation of stochastic dominance constrained programs
• Linear Optimization in C (Ω) and Portfolio Insurance
• Optimization with reference-based robust preference constraints
• Optimal tracking portfolio with a ratcheting capital benchmark
• Potentials of a Markov process are expected suprema
• On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation
• An extended Merton problem with relaxed benchmark tracking
• Optimization with multivariate stochastic dominance constraints

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