Optimal asset allocation: a worst scenario expectation approach
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Publication:438769
DOI10.1007/S10957-011-9972-6zbMATH Open1267.91090OpenAlexW2002370620MaRDI QIDQ438769FDOQ438769
Authors: Fei Lung Yuen, Hailiang Yang 
Publication date: 31 July 2012
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10722/159899
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Cites Work
- Coherent measures of risk
- An Intertemporal Capital Asset Pricing Model
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Title not available (Why is that?)
- Risk measures via \(g\)-expectations
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- A PDE approach for risk measures for derivatives with regime switching
- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
- COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY
- A PDE approach to risk measures of derivatives
- Shortfall as a risk measure: properties, optimization and applications
Cited In (5)
- Scenario optimization asset and liability modelling for individual investors
- Optimal Asset Allocation for Passive Investing with Capital Loss Harvesting
- Optimal asset allocation: risk and information uncertainty
- Robust portfolio optimization with multi-factor stochastic volatility
- The optimal portfolio decision under risk based on return
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