Continuous-time optimal portfolio under a value-at-risk constraint
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Publication:3501897
zbMATH Open1150.90511MaRDI QIDQ3501897FDOQ3501897
Authors: Hua Hu 
Publication date: 3 June 2008
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Cited In (16)
- Continuous-time mean-risk portfolio selection
- Optimal dynamic portfolios under a tail conditional expectation constraint
- Optimal Control of Conditional Value-at-Risk in Continuous Time
- Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
- Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset
- Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory
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- Continuous-time portfolio selection and option pricing under risk-minimization criterion in an incomplete market
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- Optimal portfolios under a value-at-risk constraint
- Risk-constrained dynamic portfolio management
- Portfolio optimization under the Value-at-Risk constraint
- Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading
- Continuous-time Markowitz's model with constraints on wealth and portfolio
- Long-only equal risk contribution portfolios for CVaR under discrete distributions
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