Dynamic portfolio choice when risk is measured by weighted VaR
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Publication:3449459
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Cites work
- scientific article; zbMATH DE number 1795125 (Why is no real title available?)
- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
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Cited in
(24)- Representation theorems for WVaR with respect to a capacity
- Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
- BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO
- Dynamic mean-VaR portfolio selection in continuous time
- Solving dynamic portfolio choice problems by recursing on optimized portfolio weights or on the value function?
- Optimal expansion of business opportunity
- Tail mean-variance portfolio selection with estimation risk
- Optimal investment with risk controlled by weighted entropic risk measures
- A Risk Extended Version of Merton’s Optimal Consumption and Portfolio Selection
- Short communication: mean-stochastic-dominance portfolio selection in continuous time
- Risk management with expected shortfall
- Optimal Dynamic Trading Strategies with Risk Limits
- Robust utility maximisation with intractable claims
- Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets
- Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time
- Risk management with weighted VaR
- Optimal payoff under the generalized dual theory of choice
- Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory
- Utility-deviation-risk portfolio selection
- Mean-expectile portfolio selection
- Distributionally robust goal-reaching optimization in the presence of background risk
- Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance
- Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time
- Optimal multivariate financial decision making
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