Dynamic mean-risk optimization in a binomial model
DOI10.1007/S00186-008-0267-0zbMATH Open1176.91143OpenAlexW2058378947MaRDI QIDQ1040686FDOQ1040686
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
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Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)
Cites Work
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Stochastic finance. An introduction in discrete time
- Optimal portfolios with bounded capital at risk.
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- Optimal portfolios under a value-at-risk constraint
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- Shortfall risk minimising strategies in the binomial model: characterisation and convergence
- Dynamic Portfolio Optimization with Bounded Shortfall Risks
- Portfolio optimization under the Value-at-Risk constraint
- Optimal Control of Favorable Games with Expected Loss Constraint
Cited In (13)
- Time consistency and risk averse dynamic decision models: definition, interpretation and practical consequences
- On the price of risk in a mean-risk optimization model
- Markov decision processes with average-value-at-risk criteria
- Risk-averse dynamic pricing using mean-semivariance optimization
- Constrained dynamic optimality and binomial terminal wealth
- DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION
- Time consistency of the mean-risk problem
- The optimal-drift model: an accelerated binomial scheme
- Optimal portfolio choice in a binomial-tree and its convergence
- Risk-reward optimization with discrete-time coherent risk
- Dynamic CVAR with multi-period risk problems
- Risk-constrained reinforcement learning with percentile risk criteria
- Markov decision processes with risk-sensitive criteria: an overview
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