Continuous-time optimal portfolio under a value-at-risk constraint
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Publication:3501897
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(18)- Risk-constrained dynamic portfolio management
- Continuous-time Markowitz's model with constraints on wealth and portfolio
- OPTIMAL INVESTMENT UNDER PARTIAL INFORMATION AND ROBUST VAR-TYPE CONSTRAINT
- Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model
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- Optimal Control of Conditional Value-at-Risk in Continuous Time
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- Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading
- Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
- Optimal dynamic portfolios under a tail conditional expectation constraint
- Portfolio optimization under the Value-at-Risk constraint
- Long-only equal risk contribution portfolios for CVaR under discrete distributions
- scientific article; zbMATH DE number 1642350 (Why is no real title available?)
- Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset
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- Continuous-time portfolio selection and option pricing under risk-minimization criterion in an incomplete market
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- Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory
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