Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR

DOI10.1287/moor.2014.0695zbMath1377.91169OpenAlexW2126239906MaRDI QIDQ3449459

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

zbMATH Keywords

well-posednesscoherent risk measuresoptimal investment strategiesmean-risk portfolio choicebinary and ternary payoffsweighted value-at-risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (18)

Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory ⋮ BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO ⋮ Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk ⋮ Dynamic mean–VaR portfolio selection in continuous time ⋮ A Risk Extended Version of Merton’s Optimal Consumption and Portfolio Selection ⋮ Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance ⋮ Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time ⋮ 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 ⋮ Risk management with expected shortfall ⋮ Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets ⋮ Representation theorems for WVaR with respect to a capacity ⋮ Mean-expectile portfolio selection ⋮ Optimal payoff under the generalized dual theory of choice ⋮ Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR ⋮ Utility-Deviation-Risk Portfolio Selection

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