Dynamic utility maximization with bounded shortfall risks

DOI10.1002/PAMM.200510335MaRDI QIDQ3177092zbMATH OpenOpenAlexFDO

Authors Abdelali Gabih, R. Wunderlich

Publication date 26 July 2018

Published in PAMM (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/pamm.200510335

Mathematics Subject Classification ID

Portfolio theory (91G10) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(15)

• On the inefficiency of bang-bang and stop-loss portfolio strategies
• Beyond expected utility: subjective risk aversion and optimal portfolio choice under convex shortfall risk measures
• Portfolio optimization under shortfall risk constraint
• Utility Maximization Under Bounded Expected Loss
• Dynamic Minimization of Worst Conditional Expectation of Shortfall
• Disparity, shortfall, and twice-endogenous HARA utility
• Dynamic portfolio optimization with risk management and strategy constraints
• Hedging under multiple risk constraints
• Dynamic Portfolio Optimization with Bounded Shortfall Risks
• Optimal portfolios under bounded shortfall risk and partial information
• Maximizing terminal utility by controlling risk exposure; a discrete-time dynamic control approach
• Optimal portfolios with a positive lower bound on final wealth
• The importance of dynamic risk constraints for limited liability operators
• Optimal portfolio strategies benchmarking the stock market
• Utility maximization under a shortfall risk constraint

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