Dynamic CVAR with multi-period risk problems

DOI10.1007/S11424-011-9010-7zbMATH Open1269.93137OpenAlexW1979106885MaRDI QIDQ2392648FDOQ2392648

Authors: Zhiqing Meng, Min Jiang, Qiying Hu 

Publication date: 2 August 2013

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-011-9010-7

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zbMATH Keywords

Markov decision processesoptimal policyoptimality equationmulti-period portfolio optimization\(\alpha\)-conditional value at risk (CVAR)multi-period risk problems

Mathematics Subject Classification ID

Credit risk (91G40) Optimal stochastic control (93E20)

Cites Work

• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Credit risk optimization with conditional Value-at-Risk criterion
• Handling CVaR objectives and constraints in two-stage stochastic models
• Title not available (Why is that?)
• Time consistent dynamic risk measures
• Markov decision processes with their applications
• Computational Science - ICCS 2004
• Title not available (Why is that?)

Cited In (5)

• Multiperiod stochastic optimization problems with time-consistent risk constraints
• A new risk measure MMVaR: properties and empirical research
• Decision tree analysis for a risk averse decision maker: CVaR criterion
• Impact of the RMB joining in the SDR basket on its internationalization from the perspective of risk spillover
• A multi-periods multiobjective conditional value-at-risk model

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