Portfolio selection based on a benchmark process with dynamic value-at-risk constraints

DOI10.1016/J.CAM.2016.10.001MaRDI QIDQ344301zbMATH OpenOpenAlexFDO

Authors Qingye Zhang, Yan Gao

Publication date 22 November 2016

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2016.10.001

zbMATH Keywords

Lagrange multiplier methodHamilton-Jacobi-Bellman (HJB) equationbenchmark processdynamic value-at-risk (VaR)

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Dynamic programming (90C39) Portfolio theory (91G10)

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Cites work

• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate
• Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon
• Optimal Dynamic Trading Strategies with Risk Limits
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Optimal portfolio on tracking the expected wealth process with liquidity constraints
• Optimal portfolio selection and dynamic benchmark tracking
• Optimal portfolios under a value-at-risk constraint
• Optimal strategies for asset allocation and consumption under stochastic volatility
• Portfolio selection problem with liquidity constraints under non-extensive statistical mechanics
• Portfolio selection problem with value-at-risk constraints under non-extensive statistical mechanics
• Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
• Risk Management with Benchmarking

Cited in

(18)

• Solving high-order uncertain differential equations via Adams-Simpson method
• Dynamic mean-variance optimal portfolio selection with benchmark processes
• Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment
• A hybrid algorithm for portfolio selection: an application on the Dow Jones Index (DJI)
• Across-time risk-aware strategies for outperforming a benchmark
• Portfolio selection problem with value-at-risk constraints under non-extensive statistical mechanics
• Dynamic mean-VaR portfolio selection in continuous time
• Portfolio management with benchmark related incentives under mean reverting processes
• A new family of expanded mixed finite element methods for reaction-diffusion equations
• Explicit investment setting in a Kaldor macroeconomic model with macro shock
• Research on dynamic mean-variance portfolio selection under a value-at-risk constraint
• Dynamic portfolio model under a capital at risk constraint
• Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
• Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio
• Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach
• Optimal portfolio selection and dynamic benchmark tracking
• Multi-period mean-variance portfolio selection with a benchmark process
• A discrete-time benchmark tracking problem in two markets subject to random environments

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