Risk management with multiple VaR constraints
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Publication:1616838
DOI10.1007/s00186-018-0637-1zbMath1418.91456OpenAlexW2802838328WikidataQ129855762 ScholiaQ129855762MaRDI QIDQ1616838
Publication date: 7 November 2018
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-018-0637-1
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Related Items (5)
Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation ⋮ Decrease of capital guarantees in life insurance products: can reinsurance stop it? ⋮ Non-concave portfolio optimization with average value-at-risk ⋮ Optimal investment under VaR-regulation and minimum insurance ⋮ Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts
Cites Work
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- Convex duality in constrained portfolio optimization
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- Comonotonic approximation to periodic investment problems under stochastic drift
- A dynamic programming approach to constrained portfolios
- Optimal selection of a portfolio of options under value-at-risk constraints: a scenario approach
- Risk Management with Benchmarking
- Optimal Dynamic Trading Strategies with Risk Limits
- Optimal capital growth with convex shortfall penalties
- PORTFOLIO MANAGEMENT WITH CONSTRAINTS
- Optimal portfolio policies under bounded expected loss and partial information
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