Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
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Cites work
- scientific article; zbMATH DE number 1247838 (Why is no real title available?)
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- 60 years of portfolio optimization: practical challenges and current trends
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(28)- Continuous-time mean-risk portfolio selection
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- Optimal control of the decumulation of a retirement portfolio with variable spending and dynamic asset allocation
- Dynamic growth-optimal portfolio choice under risk control
- Optimal consumption-portfolio problem with CVaR constraints
- Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time
- A dynamic autoregressive expectile for time-invariant portfolio protection strategies
- Dynamic mean-VaR portfolio selection in continuous time
- 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
- Optimal investment strategy for DC pension with mean-weighted variance-CVaR criterion under partial information
- 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
- Dynamic mean-variance hybrid portfolio optimization with spectral risk regulation
- 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
- Dynamic reinsurance design with heterogeneous beliefs under the mean-variance framework
- 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
- Stable portfolio selection strategy for mean-variance-CVaR model under high-dimensional scenarios
- Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time
- Optimal dynamic portfolio selection with earnings-at-risk
- 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
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