Portfolio selection with marginal risk control

DOI10.21314/JCF.2010.213MaRDI QIDQ5411509zbMATH OpenFDO

Authors Duan Li, Xiaoling Sun, Shushang Zhu

Publication date 23 April 2014

Published in The Journal of Computational Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.21314/JCF.2010.213

Mathematics Subject Classification ID

Quadratic programming (90C20) Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

Recommendations

• Mean-variance portfolio selection with margin requirements
• Optimal control of the portfolio
• Portfolio selection with probabilistic utility
• Multi-period portfolio selection with drawdown control
• Portfolio selection with multiple spectral risk constraints
• Portfolio Optimization with Risk Control by Stochastic Dominance Constraints
• Continuous-time mean-risk portfolio selection
• Optimal trade-off portfolio selection between total risk and maximum relative marginal risk^†
• The dynamic control of risk in optimised portfolios
• scientific article; zbMATH DE number 1536483

Cited in

(18)

• Does marginal VaR lead to improved performance of managed portfolios: a study of S\&P BSE 100 and S\&P BSE 200
• Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints
• Optimal trade-off portfolio selection between total risk and maximum relative marginal risk^†
• scientific article; zbMATH DE number 1892900 (Why is no real title available?)
• Portfolio selection with the effect of systematic risk diversification: formulation and accelerated gradient algorithm
• An optimal trade-off model for portfolio selection with sensitivity of parameters
• A branch-and-cut algorithm using polar cuts for solving nonconvex quadratic programming problems
• Active allocation of systematic risk and control of risk sensitivity in portfolio optimization
• scientific article; zbMATH DE number 1944676 (Why is no real title available?)
• scientific article; zbMATH DE number 2123496 (Why is no real title available?)
• An effective branch and bound algorithm for generalized risk parity portfolio optimization
• A new global algorithm for factor-risk-constrained mean-variance portfolio selection
• Mean-variance portfolio optimization with parameter sensitivity control
• A novel global algorithm for optimal portfolio selection with maximum relative marginal risk via SCO method and SOCP relaxation
• Portfolio selection with multiple spectral risk constraints
• Sparse and risk diversification portfolio selection
• Flexible shrinkage in portfolio selection
• Soft portfolio control

Describes a project that uses

Uses Software

• BARON

This page was built for publication: Portfolio selection with marginal risk control

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5411509)