Quantile criterion-based control of the securities portfolio with a nonzero ruin probability
DOI10.1134/S0005117913050068zbMATH Open1270.91084OpenAlexW2073442649MaRDI QIDQ2393019FDOQ2393019
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
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Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20) Applications of optimal control and differential games (49N90) Optimal stochastic control (93E20)
Cites Work
- A Stochastic Programming Model
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- Control optimization by the quantile criterion
- Optimal control of the portfolio
- Optimal control of the investment portfolio with respect to the quantile criterion
- Portfolio optimization via stochastic programming: Methods of output analysis
Cited In (11)
- On the shortfall risk control: a refinement of the quantile hedging method
- Optimal control of the portfolio
- Optimal control of the investment portfolio with respect to the quantile criterion
- Probabilistic criterion-based optimal retention of trajectories of a discrete-time stochastic system in a given tube: bilateral estimation of the Bellman function
- 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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