Portfolio optimization under the Value-at-Risk constraint
From MaRDI portal
Publication:3593595
DOI10.1080/14697680701213868zbMATH Open1278.91149OpenAlexW2143299583MaRDI QIDQ3593595FDOQ3593595
Authors: Traian A. Pirvu 
Publication date: 23 July 2007
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680701213868
Recommendations
Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
Cites Work
- A general version of the fundamental theorem of asset pricing
- Hedging contingent claims with constrained portfolios
- Optimal portfolios with bounded capital at risk.
- Optimal Dynamic Trading Strategies with Risk Limits
- Optimal portfolios under a value-at-risk constraint
- Theory of optimal consumption and portfolio selection under a Capital-at-Risk (CaR) and a Value-at-Risk (VaR) constraint
Cited In (38)
- A difference of convex formulation of value-at-risk constrained optimization
- In search of robust methods for multi-currency portfolio construction by value at risk
- Optimal portfolios under a value-at-risk constraint with applications to inventory control in supply chains
- Optimal consumption-portfolio problem with CVaR constraints
- Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation
- Portfolio optimization with entropic value-at-risk
- VNS approach for solving a financial portfolio design problem
- Non-concave portfolio optimization with average value-at-risk
- PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
- The optimal mean-variance investment strategy under value-at-risk constraints
- Optimal portfolios with stress analysis and the effect of a CVaR constraint
- Optimal selection of a portfolio of options under value-at-risk constraints: a scenario approach
- Optimal investment, consumption and retirement decision with disutility and borrowing constraints
- Stability analysis of portfolio management with conditional value-at-risk
- Title not available (Why is that?)
- Efficient portfolio valuation incorporating liquidity risk
- Portfolio optimization with wealth-dependent risk constraints
- Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
- Title not available (Why is that?)
- MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS
- Optimal portfolios under a value-at-risk constraint
- Maximizing expected exponential utility of consumption with a constraint on expected time in poverty
- Portfolio optimization for wealth-dependent risk preferences
- Dynamic mean-risk optimization in a binomial model
- Quantile portfolio optimization under risk measure constraints
- Portfolio optimization managing value at risk under heavy tail return, using stochastic maximum principle
- PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
- Optimal investment under dynamic risk constraints and partial information
- Title not available (Why is that?)
- Continuous-time optimal portfolio under a value-at-risk constraint
- Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading
- Portfolio selection problem with value-at-risk constraints under non-extensive statistical mechanics
- Subgame-perfect equilibrium strategies for time-inconsistent recursive stochastic control problems
- Value-at-risk optimization using the difference of convex algorithm
- Optimal portfolios with regime switching and value-at-risk constraint
- A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
- Static and dynamic VaR constrained portfolios with application to delegated portfolio management
- Dynamic portfolio selection under capital-at-risk with no short-selling constraints
Uses Software
This page was built for publication: Portfolio optimization under the Value-at-Risk constraint
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3593595)
