Worst-case portfolio optimization in discrete time

DOI10.1007/S00186-019-00668-8MaRDI QIDQ2009178zbMATH OpenOpenAlexWikidataFDO

Authors Ralf Korn, Lihua Chen

Publication date 27 November 2019

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00186-019-00668-8

zbMATH Keywords

dynamic programmingoptimal strategyutility functiondiscrete-time settingmarket crashworst-case portfolio optimization

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10) Utility theory (91B16) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 4081235 (Why is no real title available?)
• scientific article; zbMATH DE number 1200330 (Why is no real title available?)
• A worst-case approach to continuous-time portfolio optimisation
• Lifetime consumption and investment for worst-case crash scenarios
• Markov decision processes with applications to finance.
• OPTIMAL PORTFOLIOS UNDER THE THREAT OF A CRASH
• On Worst-Case Portfolio Optimization
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Optimal investment for worst-case crash scenarios: a martingale approach
• Optimum consumption and portfolio rules in a continuous-time model
• Robust worst-case optimal investment
• Worst-case portfolio optimization with proportional transaction costs
• Worst-case scenario investment for insurers
• Worst-case scenario portfolio optimization: a new stochastic control approach

Cited in

(14)

• Worst portfolios for dynamic monetary utility processes
• Closed-form solutions to discrete-time portfolio optimization problems
• Optimal portfolio choice with crash and default risk
• The worst-case discounted regret portfolio optimization problem
• Multi-asset worst-case optimal portfolios
• Worst-case portfolio optimization in a market with bubbles
• Worst-case scenario portfolio optimization: a new stochastic control approach
• Portfolio management under drawdown constraint in discrete-time financial markets
• A worst-case approach to continuous-time portfolio optimisation
• Optimal portfolios: new variations of an old theme
• A new approach for worst-case regret portfolio optimization problem
• Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure
• Worst-case portfolio optimization with proportional transaction costs
• On Worst-Case Portfolio Optimization

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