Portfolio optimization under the Value-at-Risk constraint
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Publication:3593595
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Cites work
- A general version of the fundamental theorem of asset pricing
- Hedging contingent claims with constrained portfolios
- Optimal Dynamic Trading Strategies with Risk Limits
- Optimal portfolios under a value-at-risk constraint
- Optimal portfolios with bounded capital at risk.
- Theory of optimal consumption and portfolio selection under a Capital-at-Risk (CaR) and a Value-at-Risk (VaR) constraint
Cited in
(39)- scientific article; zbMATH DE number 5589690 (Why is no real title available?)
- Dynamic mean-risk optimization in a binomial model
- Continuous-time optimal portfolio under a value-at-risk constraint
- Portfolio optimization for wealth-dependent risk preferences
- Optimal selection of a portfolio of options under value-at-risk constraints: a scenario approach
- Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation
- Portfolio optimization with wealth-dependent risk constraints
- Optimal portfolios with stress analysis and the effect of a CVaR constraint
- Optimal portfolios under a value-at-risk constraint with applications to inventory control in supply chains
- In search of robust methods for multi-currency portfolio construction by value at risk
- A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
- Dynamic portfolio selection under capital-at-risk with no short-selling constraints
- Portfolio selection problem with value-at-risk constraints under non-extensive statistical mechanics
- PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
- Optimal consumption-portfolio problem with CVaR constraints
- Non-concave portfolio optimization with average value-at-risk
- MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS
- Optimal portfolios under a value-at-risk constraint
- Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading
- Quantile portfolio optimization under risk measure constraints
- A difference of convex formulation of value-at-risk constrained optimization
- Value-at-risk optimization using the difference of convex algorithm
- Optimal investment, consumption and retirement decision with disutility and borrowing constraints
- Subgame-perfect equilibrium strategies for time-inconsistent recursive stochastic control problems
- Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
- PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
- Portfolio optimization with entropic value-at-risk
- Optimal investment under dynamic risk constraints and partial information
- Optimal portfolios with regime switching and value-at-risk constraint
- Maximizing expected exponential utility of consumption with a constraint on expected time in poverty
- scientific article; zbMATH DE number 1944680 (Why is no real title available?)
- Precommitted strategies with initial-time and intermediate-time value-at-risk constraints
- The optimal mean-variance investment strategy under value-at-risk constraints
- Stability analysis of portfolio management with conditional value-at-risk
- Portfolio optimization managing value at risk under heavy tail return, using stochastic maximum principle
- Efficient portfolio valuation incorporating liquidity risk
- scientific article; zbMATH DE number 7400752 (Why is no real title available?)
- Static and dynamic VaR constrained portfolios with application to delegated portfolio management
- VNS approach for solving a financial portfolio design problem
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