Dynamic mean-risk optimization in a binomial model

DOI10.1007/S00186-008-0267-0MaRDI QIDQ1040686zbMATH OpenOpenAlexFDO

Authors Nicole Bäuerle, André Mundt

Publication date 25 November 2009

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00186-008-0267-0

zbMATH Keywords

average value-at-riskMarkov decision modelbinomial financial market

Mathematics Subject Classification ID

Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 1971733 (Why is no real title available?)
• scientific article; zbMATH DE number 3320878 (Why is no real title available?)
• Dynamic Portfolio Optimization with Bounded Shortfall Risks
• Optimal Control of Favorable Games with Expected Loss Constraint
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Optimal portfolios under a value-at-risk constraint
• Optimal portfolios with bounded capital at risk.
• Portfolio optimization under the Value-at-Risk constraint
• Shortfall risk minimising strategies in the binomial model: characterisation and convergence
• Stochastic finance. An introduction in discrete time

Cited in

(13)

• Markov decision processes with average-value-at-risk criteria
• DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION
• Risk-reward optimization with discrete-time coherent risk
• On the price of risk in a mean-risk optimization model
• Time consistency of the mean-risk problem
• Constrained dynamic optimality and binomial terminal wealth
• Risk-averse dynamic pricing using mean-semivariance optimization
• Time consistency and risk averse dynamic decision models: definition, interpretation and practical consequences
• Dynamic CVAR with multi-period risk problems
• Markov decision processes with risk-sensitive criteria: an overview
• The optimal-drift model: an accelerated binomial scheme
• Optimal portfolio choice in a binomial-tree and its convergence
• Risk-constrained reinforcement learning with percentile risk criteria

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