Recursive risk measures under regime switching applied to portfolio selection
From MaRDI portal
Publication:4555153
DOI10.1080/14697688.2016.1267393zbMath1402.91673MaRDI QIDQ4555153
Jia Liu, Zhiping Chen, Yong-Chang Hui
Publication date: 19 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2016.1267393
regime switching; factor model; conditional value-at-risk; time consistency; dynamic portfolio selection; recursive risk measure
91G10: Portfolio theory
Related Items
CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING, A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems, Time consistent multi-period worst-case risk measure in robust portfolio selection, Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Time-inconsistent multistage stochastic programs: martingale bounds
- Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow
- Composite time-consistent multi-period risk measure and its application in optimal portfolio selection
- Risk-averse dynamic programming for Markov decision processes
- Analysis of time series subject to changes in regime
- Dynamic monetary risk measures for bounded discrete-time processes
- Handling CVaR objectives and constraints in two-stage stochastic models
- Optimal portfolio choice for unobservable and regime-switching mean returns
- Second-order cone programming
- A multiobjective metaheuristic for a mean-risk multistage capacity investment problem with process flexibility
- Time-consistent mean-variance portfolio selection in discrete and continuous time
- Optimal investment policy in the time consistent mean-variance formulation
- A dynamic stochastic programming model for international portfolio management
- Coherent multiperiod risk adjusted values and Bellman's principle
- Conditional and dynamic convex risk measures
- Portfolio optimization in stochastic markets
- Worst-case robust decisions for multi-period mean-variance portfolio optimization
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- Conditional risk and acceptability mappings as Banach-lattice valued mappings
- Convex risk measures and the dynamics of their penalty functions
- Lectures on Stochastic Programming
- BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
- Conditional Risk Mappings
- Common risk factors in the returns on stocks and bonds
- DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
- COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS