The optimal mean-variance investment strategy under value-at-risk constraints

DOI10.1016/j.insmatheco.2012.05.004zbMath1284.91535arXiv1011.4991OpenAlexW2082940395MaRDI QIDQ2445346

Tiantian Li, Jun Ye

Publication date: 14 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.4991

zbMATH Keywords

Hamilton-Jacobi-Bellman equationvalue-at-riskoptimal investment strategymean-variance portfolio

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items

Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints, Stochastic differential reinsurance and investment games with delay under VaR constraints⋆, Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets

Cites Work

• Unnamed Item
• Optimal investment-reinsurance policy for an insurance company with VaR constraint
• Optimal portfolios under a value-at-risk constraint
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Mean-variance hedging in continuous time
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Approximation pricing and the variance-optimal martingale measure
• Optimal Portfolios with Bounded Capital at Risk
• Optimal Dynamic Trading Strategies with Risk Limits
• Portfolio optimization under the Value-at-Risk constraint
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin