Continuous-time optimal portfolio selection using mean-CaR models

MaRDI QIDQ5441837zbMATH OpenFDO

Authors Kai Wang Ng, Zhongfei Li, Xiaotie Deng

Publication date 15 February 2008

Mathematics Subject Classification ID

Numerical methods based on nonlinear programming (49M37) Management decision making, including multiple objectives (90B50) Applications of mathematical programming (90C90) Economic growth models (91B62) Portfolio theory (91G10)

Recommendations

• Continuous-time mean-risk portfolio selection
• Continuous time portfolio selection under conditional capital at risk
• OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION
• Optimal dynamic portfolio selection with earnings-at-risk
• Dynamic portfolio selection under capital-at-risk with no short-selling constraints

Cited in

(8)

• Continuous-time mean-risk portfolio selection
• Continuous-time portfolio optimization for absolute return funds
• Continuous time portfolio optimization
• OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION
• Continuous‐time mean–variance portfolio selection: A reinforcement learning framework
• Continuous time portfolio selection under conditional capital at risk
• Portfolio selection and job switching with CARA utility
• Solving a class of bilevel programming problems by DC programming and DCA

This page was built for publication: Continuous-time optimal portfolio selection using mean-CaR models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5441837)