Mean-expectile portfolio selection

DOI10.1007/S00245-019-09601-1MaRDI QIDQ2041013zbMATH OpenOpenAlexWikidataFDO

Authors Hongcan Lin, David Saunders, Chengguo Weng

Publication date 15 July 2021

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00245-019-09601-1

zbMATH Keywords

efficient frontierexpectilesomegaperformance measuresportfolio selection

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

Recommendations

• Risk parity with expectiles
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• Portfolio optimization with performance ratios
• Continuous-time portfolio optimization under terminal wealth constraints

Cites work

• Asymmetric Least Squares Estimation and Testing
• Coherent measures of risk
• Continuous-time mean-risk portfolio selection
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Dynamic portfolio choice when risk is measured by weighted VaR
• Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
• Expectiles, omega ratios and stochastic ordering
• Generalized quantiles as risk measures
• On dynamic measure of risk
• Optimal investment strategies for participating contracts
• Optimal reinsurance with expectile
• Optimal strategies under omega ratio
• Scenario aggregation method for portfolio expectile optimization

Cited in

(8)

• Semi-absolute deviation rule for mutual funds portfolio selection
• Risk parity with expectiles
• Scenario aggregation method for portfolio expectile optimization
• Expectiles In Risk Averse Stochastic Programming and Dynamic Optimization
• Risk concentration and the mean-expected shortfall criterion
• Aggregation of downside risk and portfolio selection
• Conditional generalized quantiles as systemic risk measures: properties, estimation, and application
• Computational analysis of expectile and deviation expectile portfolio optimization models

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