Shortfall minimizing portfolios

MaRDI QIDQ2801411zbMATH OpenFDO

Authors H. Müller, R. Baumann

Publication date 7 April 2016

Published in Mitteilungen. Schweizerische Aktuarvereinigung (SAV) (Search for Journal in Brave)

Full work available at URL http://www.actuaries.ch/images/getFile?t=bulletin&f=dokument&id=14

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• Shortfall as a risk measure: properties, optimization and applications
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Cited in

(7)

• Pension funds as institutions for intertemporal risk transfer
• Shortfall as a risk measure: properties, optimization and applications
• Risk minimization through portfolio replication
• Design of efficient investment portfolios with a shortfall probability as a measure of risk
• Short Positions in the First Principal Component Portfolio
• Construction of a portfolio with shorter downside tail and longer upside tail
• Utilizing risk minimization for portfolio management

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