Portfolio selection based on a benchmark process with dynamic value-at-risk constraints

DOI10.1016/j.cam.2016.10.001zbMath1410.91436OpenAlexW2535549511MaRDI QIDQ344301

Qingye Zhang, Yan Gao

Publication date: 22 November 2016

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2016.10.001

zbMATH Keywords

Lagrange multiplier methodHamilton-Jacobi-Bellman (HJB) equationbenchmark processdynamic value-at-risk (VaR)

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Dynamic programming (90C39) Portfolio theory (91G10)

Related Items (6)

Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach ⋮ Explicit investment setting in a Kaldor macroeconomic model with macro shock ⋮ Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility ⋮ A hybrid algorithm for portfolio selection: an application on the Dow Jones Index (DJI) ⋮ Solving high-order uncertain differential equations via Adams-Simpson method ⋮ A new family of expanded mixed finite element methods for reaction-diffusion equations

Cites Work

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