Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
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Publication:321015
DOI10.1016/J.EJOR.2015.09.005zbMATH Open1346.91204OpenAlexW3122337495WikidataQ57445407 ScholiaQ57445407MaRDI QIDQ321015FDOQ321015
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2015.09.005
stochastic optimizationconditional value at risksafety-first principledynamic mean-risk portfolio selectionmartingale approach
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Cited In (22)
- Continuous-time mean-risk portfolio selection
- Optimal consumption-portfolio problem with CVaR constraints
- A dynamic autoregressive expectile for time-invariant portfolio protection strategies
- A linear programming model for selection of sparse high-dimensional multiperiod portfolios
- Dynamic safety first expected utility model
- Portfolio selection with exploration of new investment assets
- Portfolio optimization under safety first expected utility with nonlinear probability distortion
- A mental account-based portfolio selection model with an application for data with smaller dimensions
- Time consistent multi-period worst-case risk measure in robust portfolio selection
- Fuzzy multi-period portfolio selection with different investment horizons
- Optimal investment and reinsurance to maximize the probability of drawup before drawdown
- A Risk Extended Version of Merton’s Optimal Consumption and Portfolio Selection
- OPTIMAL CONTROL OF THE DECUMULATION OF A RETIREMENT PORTFOLIO WITH VARIABLE SPENDING AND DYNAMIC ASSET ALLOCATION
- Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
- Interval-based stochastic dominance: theoretical framework and application to portfolio choices
- Dynamic mean–VaR portfolio selection in continuous time
- Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time
- Stable portfolio selection strategy for mean-variance-CVaR model under high-dimensional scenarios
- Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios
- Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection
- An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
- Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
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