Shortfall minimizing portfolios

zbMATH Open1333.91053MaRDI QIDQ2801411FDOQ2801411

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

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Mathematics Subject Classification ID

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

Cited In (7)

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

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