Portfolio optimization under a quantile hedging constraint
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Cites work
- scientific article; zbMATH DE number 3855514 (Why is no real title available?)
- scientific article; zbMATH DE number 695024 (Why is no real title available?)
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Cited in
(15)- Portfolio Optimization in Fractional and Rough Heston Models
- Quantile hedging in the complete financial market under the mixed fractional Brownian motion model and the liquidity constraint
- Optimal control of the investment portfolio with respect to the quantile criterion
- Outperforming the market portfolio with a given probability
- A stochastic target approach for P\&L matching problems
- Buyer's quantile hedge portfolios in discrete-time trading
- Minimax optimization of investment portfolio by quantile criterion
- Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
- Quantile criterion-based control of the securities portfolio with a nonzero ruin probability
- A note on \(\mathcal{P}\)- vs. \(\mathcal{Q}\)-expected loss portfolio constraints
- A level-set approach for stochastic optimal control problems under controlled-loss constraints
- Optimal portfolio allocations with tracking error volatility and stochastic hedging constraints
- Quantile portfolio optimization under risk measure constraints
- Dual representation of the cost of designing a portfolio satisfying multiple risk constraints
- A robust consumption model when the intensity of technological progress is ambiguous
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