Optimal dynamic portfolios under a tail conditional expectation constraint

MaRDI QIDQ3392410zbMATH OpenFDO

Authors Daniel Akume, Guy Merlin Mbakop

Publication date 14 August 2009

zbMATH Keywords

optimizationportfoliorisk managementtail conditional expectationValue-at-Risk

Mathematics Subject Classification ID

Dynamical systems in optimization and economics (37N40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

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• A dynamic autoregressive expectile for time-invariant portfolio protection strategies
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• A MAXIMAL PREDICTABILITY PORTFOLIO SUBJECT TO A TURNOVER CONSTRAINT
• Dynamic Minimization of Worst Conditional Expectation of Shortfall
• Dynamic Optimization of Investment Portfolio under Liquidity with Taylor Extension of Value function
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