Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
From MaRDI portal
Publication:321015
DOI10.1016/j.ejor.2015.09.005zbMath1346.91204OpenAlexW3122337495WikidataQ57445407 ScholiaQ57445407MaRDI QIDQ321015
Yan Xiong, Li, Duan, Jian-Jun Gao
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 optimizationmartingale approachconditional value at risksafety-first principledynamic mean-risk portfolio selection
Related Items
A linear programming model for selection of sparse high-dimensional multiperiod portfolios, 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, Fuzzy multi-period portfolio selection with different investment horizons, Dynamic mean–VaR portfolio selection in continuous time, A Risk Extended Version of Merton’s Optimal Consumption and Portfolio Selection, Optimal consumption-portfolio problem with CVaR constraints, Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework, Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time, Portfolio selection with exploration of new investment assets, 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, Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios, Dynamic safety first expected utility model, Interval-based stochastic dominance: theoretical framework and application to portfolio choices, Stable portfolio selection strategy for mean-variance-CVaR model under high-dimensional scenarios, OPTIMAL CONTROL OF THE DECUMULATION OF A RETIREMENT PORTFOLIO WITH VARIABLE SPENDING AND DYNAMIC ASSET ALLOCATION
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Computational aspects of minimizing conditional value-at-risk
- Handling CVaR objectives and constraints in two-stage stochastic models
- Multiobjective optimization. Interactive and evolutionary approaches
- Optimal portfolios under a value-at-risk constraint
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
- Quantitative parametric connections between methods for generating noninferior solutions in multiobjective optimization
- Solving two-stage stochastic programming problems with level decomposition
- Continuous-time mean-risk portfolio selection
- 60 years of portfolio optimization: practical challenges and current trends
- Optimal multi-period mean-variance policy under no-shorting constraint
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- Coherent Measures of Risk
- Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
- BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
- Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
- Discrete-Time Financial Planning Models Under Loss-Averse Preferences
- Mean-risk models using two risk measures: a multi-objective approach
- Safety First and the Holding of Assets