Quantile criterion-based control of the securities portfolio with a nonzero ruin probability

DOI10.1134/S0005117913050068MaRDI QIDQ2393019zbMATH OpenOpenAlexFDO

Authors T. V. Bunto, Yu. S. Kan

Publication date 7 August 2013

Published in Automation and Remote Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s0005117913050068

zbMATH Keywords

dynamic programmingoptimal strategyinvestments into securitiesnonzero ruin probability

Mathematics Subject Classification ID

Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20) Applications of optimal control and differential games (49N90) Optimal stochastic control (93E20)

Recommendations

• Optimal control of the investment portfolio with respect to the quantile criterion
• Control of investment portfolio based on complex quantile risk measures
• Quantile portfolio optimization under risk measure constraints
• Control of ruin probabilities by discrete-time investments
• On the shortfall risk control: a refinement of the quantile hedging method
• Portfolio optimization under a quantile hedging constraint
• scientific article; zbMATH DE number 1642351
• Portfolio Optimization with Risk Control by Stochastic Dominance Constraints
• Risk sensitive control of the lifetime ruin problem
• Portfolio risk management under incomplete information: a stochastic control method

Cites work

• scientific article; zbMATH DE number 1016946 (Why is no real title available?)
• A Stochastic Programming Model
• Control optimization by the quantile criterion
• Optimal control of the investment portfolio with respect to the quantile criterion
• Optimal control of the portfolio
• Portfolio optimization via stochastic programming: Methods of output analysis

Cited in

(11)

• On the shortfall risk control: a refinement of the quantile hedging method
• Probabilistic criterion-based optimal retention of trajectories of a discrete-time stochastic system in a given tube: bilateral estimation of the Bellman function
• Optimal control of the portfolio
• Optimal control of the investment portfolio with respect to the quantile criterion
• Optimal retention of the trajectories of a discrete-time stochastic system in a tube: one problem statement
• Discrete approximation in quantile problem of Portfolio selection
• Bilateral estimation of the Bellman function in the problems of optimal stochastic control of discrete systems by the probabilistic performance criterion
• Selection of a fixed-income portfolio
• Optimal control of a discrete-time stochastic system with a probabilistic criterion and a non-fixed terminal time
• Refined estimation of the Bellman function for stochastic optimal control problems with probabilistic performance criterion
• The decomposition method for two-stage stochastic linear programming problems with quantile criterion

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