Comonotonic approximation to periodic investment problems under stochastic drift

DOI10.1016/J.EJOR.2017.04.010MaRDI QIDQ1754039zbMATH OpenOpenAlexFDO

Authors Liang Xu, Chunyan Gao, Gang Kou, Qinjun Liu

Publication date 30 May 2018

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2017.04.010

zbMATH Keywords

Black-Scholes marketcomonotonic approximationdecision support systemdynamic controlperiodic investment problemsstochastic drift

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Statistical methods; risk measures (91G70) Stochastic systems in control theory (general) (93E03)

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Cites work

• 60 years of portfolio optimization: practical challenges and current trends
• A provisioning problem with stochastic payments
• Coherent measures of risk
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Multi-objective stochastic programming for portfolio selection
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Optimal multi-period mean-variance policy under no-shorting constraint
• Portfolio selection: a review
• Robust multiperiod portfolio management in the presence of transaction costs
• The concept of comonotonicity in actuarial science and finance: applications.
• The concept of comonotonicity in actuarial science and finance: theory.
• The pricing of options and corporate liabilities
• Upper and lower bounds for sums of random variables

Cited in

(5)

• Risk management with multiple VaR constraints
• Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection
• A comonotonic approximation to optimal terminal wealth under a multivariate Merton model with correlated jump risk
• Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts
• A generalized tail mean-variance model for optimal capital allocation

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