scientific article; zbMATH DE number 6130031

MaRDI QIDQ4901581zbMATH OpenFDO

Authors Bo Yi, Yan Zeng, Zhongfei Li

Publication date 24 January 2013

zbMATH Keywords

dynamic programmingdynamic VaR constraintoptimal portfolio strategystochastic volatilityutility maximization

Mathematics Subject Classification ID

Portfolio theory (91G10)

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(9)

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• Optimal investment strategies with VaR constraint under the rank dependent utility maximization
• Optimal investment strategy for the DC pension fund with Stein-Stein volatility and dynamic VaR constraint
• Optimal portfolio strategies with mispricing and stochastic volatility
• Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models
• OPTIMAL INVESTMENT UNDER PARTIAL INFORMATION AND ROBUST VAR-TYPE CONSTRAINT

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