Portfolio risk management with CVaR-like constraints

DOI10.1080/10920277.2010.10597579zbMATH Open1219.91132OpenAlexW3122424748MaRDI QIDQ3088971FDOQ3088971

Authors Ruilin Tian, Yijia Lin, Luis Fernando Zuluaga, S. H. jun. Cox

Publication date 23 August 2011

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2010.10597579

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10) Corporate finance (dividends, real options, etc.) (91G50)

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Cites work

• scientific article; zbMATH DE number 1228098 (Why is no real title available?)
• Coherent measures of risk
• Shortfall as a risk measure: properties, optimization and applications

Cited in

(9)

• Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints
• De-risking defined benefit plans
• Dynamic hedging of conditional value-at-risk
• Pension risk management with funding and buyout options
• Downside risk management of a defined benefit plan considering longevity basis risk
• Risk management with weighted VaR
• Long-only equal risk contribution portfolios for CVaR under discrete distributions
• Portfolio choices and VaR constraint with a defaultable asset
• Portfolio optimization under solvency constraints: a dynamical approach

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