Dynamic portfolio choice when risk is measured by weighted VaR
From MaRDI portal
(Redirected from Publication:3449459)
Recommendations
Cites work
- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
- Coherent measures of risk
- Continuous-time mean-risk portfolio selection
- Continuous-time mean-variance efficiency: the 80\% rule
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Convex measures of risk and trading constraints
- Dynamic Portfolio Optimization with Bounded Shortfall Risks
- Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
- Equilibrium impact of value-at-risk regulation
- External risk measures and Basel accords
- scientific article; zbMATH DE number 1795125 (Why is no real title available?)
- Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints
- Law invariant convex risk measures
- Law invariant convex risk measures for portfolio vectors
- Law invariant risk measures have the Fatou property
- Loss-based risk measures
- Mean-variance portfolio optimization with state-dependent risk aversion
- On general minimax theorems
- On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.
- Optimal Dynamic Trading Strategies with Risk Limits
- Optimal portfolios under a value-at-risk constraint
- Portfolio choice via quantiles
- Representation results for law invariant time consistent functions
- Robustness and sensitivity analysis of risk measurement procedures
- Some remarks on the value-at-risk and the conditional value-at-risk
- Stochastic finance. An introduction in discrete time
Cited in
(28)- Mean-expectile portfolio selection
- Optimal payoff under the generalized dual theory of choice
- Risk management with expected shortfall
- Representation theorems for WVaR with respect to a capacity
- Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
- Solving dynamic portfolio choice problems by recursing on optimized portfolio weights or on the value function?
- Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance
- Optimal Dynamic Trading Strategies with Risk Limits
- Dynamic mean-VaR portfolio selection in continuous time
- Risk management with weighted VaR
- Distributionally robust goal-reaching optimization in the presence of background risk
- A Risk Extended Version of Merton’s Optimal Consumption and Portfolio Selection
- Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets
- Utility-deviation-risk portfolio selection
- Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time
- Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory
- BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO
- Robust utility maximisation with intractable claims
- Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time
- Optimal multivariate financial decision making
- Optimal expansion of business opportunity
- Optimal investment with risk controlled by weighted entropic risk measures
- Tail mean-variance portfolio selection with estimation risk
- Short communication: mean-stochastic-dominance portfolio selection in continuous time
- Dynamic growth-optimal portfolio choice under risk control
- Time-consistent asset allocation for risk measures in a Lévy market
- Dynamic mean-variance hybrid portfolio optimization with spectral risk regulation
- Title not available (Why is no real title available?)
This page was built for publication: Dynamic portfolio choice when risk is measured by weighted VaR
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3449459)
