Portfolio optimization under a quantile hedging constraint
DOI10.1142/S0219024918500486zbMATH Open1417.91442OpenAlexW2891730813WikidataQ129224838 ScholiaQ129224838MaRDI QIDQ4555858FDOQ4555858
Authors: Géraldine Bouveret 
Publication date: 23 November 2018
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024918500486
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Cited In (15)
- 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
- A stochastic target approach for P\&L matching problems
- Outperforming the market portfolio with a given probability
- 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
- Portfolio Optimization in Fractional and Rough Heston Models
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