Conditional shortfall risk of lifetime consumption

DOI10.1007/S10479-024-06316-7MaRDI QIDQ7008504zbMATH OpenFDO

Authors Tom Anichini, Jim Grabot, Sherrie Grabot, Ming Yee Wang, Ganlin Xu, Louis van Zijl

Publication date 21 March 2025

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10479-024-06316-7

zbMATH Keywords

value-at-riskconditional value-at-riskshortfall riskmean-variance efficient frontierintertemporal consumptionconditional shortfall risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cites work

• scientific article; zbMATH DE number 3126094 (Why is no real title available?)
• scientific article; zbMATH DE number 3106184 (Why is no real title available?)
• A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients
• A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients
• Computation of mean-semivariance efficient sets by the critical line algorithm
• Consumption Over the Life Cycle
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• On the Theory of Dynamic Programming
• Safety First and the Holding of Assets

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