Dynamic mean-VaR portfolio selection in continuous time
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Recommendations
- Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time
- Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
- Static and dynamic VaR constrained portfolios with application to delegated portfolio management
- Research on dynamic mean-variance portfolio selection under a value-at-risk constraint
- Portfolio selection based on a benchmark process with dynamic value-at-risk constraints
Cites work
- A dynamic programming approach to constrained portfolios
- A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
- Coherent measures of risk
- Conditional value-at-risk in portfolio optimization: coherent but fragile
- Continuous-time mean-risk portfolio selection
- Continuous-time stochastic control and optimization with financial applications
- Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
- Dynamic portfolio choice when risk is measured by weighted VaR
- External risk measures and Basel accords
- scientific article; zbMATH DE number 1247838 (Why is no real title available?)
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- Optimal portfolios under a value-at-risk constraint
- Portfolio choice via quantiles
- Safety First and the Holding of Assets
- Stochastic finance. An introduction in discrete time
Cited in
(23)- A dynamic autoregressive expectile for time-invariant portfolio protection strategies
- Gray wolf optimization algorithm for multi-constraints second-order stochastic dominance portfolio optimization
- Continuous-time mean-risk portfolio selection
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Dynamic mean-variance portfolio selection based on a stochastic benchmark
- Continuous time mean-variance portfolio optimization through the mean field approach
- Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
- Portfolio selection based on a benchmark process with dynamic value-at-risk constraints
- Dynamic portfolio choice when risk is measured by weighted VaR
- Diversified Portfolios in Continuous Time *
- Dynamic mean-variance portfolios with risk budget
- Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time
- Static and dynamic VaR constrained portfolios with application to delegated portfolio management
- Continuous‐time mean–variance portfolio selection: A reinforcement learning framework
- BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO
- Dynamic value at risk under optimal and suboptimal portfolio policies.
- A multi-period constrained multi-objective evolutionary algorithm with orthogonal learning for solving the complex carbon neutral stock portfolio optimization model
- Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time
- Dynamic growth-optimal portfolio choice under risk control
- Optimal investment strategy for DC pension with mean-weighted variance-CVaR criterion under partial information
- Optimal attention allocation: picking alpha or betting on beta?
- Asymptotic behaviour of mean-quantile efficient portfolios
- Strategic asset allocation in a continuous-time VAR model
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