Dynamic portfolio choice when risk is measured by weighted VaR
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Publication:3449459
DOI10.1287/MOOR.2014.0695zbMATH Open1377.91169OpenAlexW2126239906MaRDI QIDQ3449459FDOQ3449459
Authors: Xue Dong He, Hanqing Jin, Xun Yu Zhou 
Publication date: 4 November 2015
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/af1dd79b7b09ef10ea527ae7b328742f6b3cf8a3
Recommendations
well-posednesscoherent risk measuresoptimal investment strategiesmean-risk portfolio choicebinary and ternary payoffsweighted value-at-risk
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Cited In (24)
- Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk
- Risk management with expected shortfall
- Optimal Dynamic Trading Strategies with Risk Limits
- Robust utility maximisation with intractable claims
- Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time
- Optimal payoff under the generalized dual theory of choice
- Utility-deviation-risk portfolio selection
- Dynamic mean-VaR portfolio selection in continuous time
- Solving dynamic portfolio choice problems by recursing on optimized portfolio weights or on the value function?
- Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
- Optimal multivariate financial decision making
- Mean-expectile portfolio selection
- BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO
- Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory
- Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets
- A Risk Extended Version of Merton’s Optimal Consumption and Portfolio Selection
- Short communication: mean-stochastic-dominance portfolio selection in continuous time
- Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time
- Optimal investment with risk controlled by weighted entropic risk measures
- Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance
- Representation theorems for WVaR with respect to a capacity
- Tail mean-variance portfolio selection with estimation risk
- Risk management with weighted VaR
- Optimal expansion of business opportunity
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