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

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Mathematics Subject Classification ID

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

Cites Work

• Coherent measures of risk
• Title not available (Why is that?)
• Shortfall as a risk measure: properties, optimization and applications

Cited In (9)

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

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