Portfolio optimization under shortfall risk constraint

DOI10.1080/02331934.2016.1173693zbMath1398.91527arXiv1501.07480OpenAlexW3102702028MaRDI QIDQ2817245

Qing-Hua Li, Oliver Janke

Publication date: 29 August 2016

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.07480

zbMATH Keywords

Lagrange multiplierportfolio optimizationconvex dualityoptimal consumptionasymptotic elasticityutility-based shortfall risk

Mathematics Subject Classification ID

Related Items (2)

Utility maximization under risk constraints and incomplete information for a market with a change point ⋮ Robust importance sampling for some typical types of utility-based shortfall risk measures using exponential twisting and kernel density techniques

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