A note on P- vs. Q-expected loss portfolio constraints

DOI10.1080/14697688.2020.1764086MaRDI QIDQ4991071zbMATH OpenOpenAlexFDO

Authors Mogens Steffensen, Harry Zheng, Jia-Wen Gu

Publication date 2 June 2021

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10044/1/79808

zbMATH Keywords

\(\mathcal{Q}\)-strategy fulfilling \(\mathcal{P}\)-risk constraintexpected loss constraintoptimal portfoliophysical measure \(\mathcal{P}\)risk-neutral measure \(\mathcal{Q}\)

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• A benchmark approach to quantitative finance
• A dynamic programming approach to constrained portfolios
• CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon

Cited in

(8)

• When q theory meets large losses risks and agency conflicts
• A dynamic programming approach to path-dependent constrained portfolios
• Portfolio performance under benchmarking relative loss and portfolio insurance: From omega ratio to loss aversion
• Optimal reinsurance design under solvency constraints
• On the equivalence between value-at-risk- and expected shortfall-based risk measures in non-concave optimization
• Risk management under weighted limited expected loss
• Dynamic growth-optimal portfolio choice under risk control
• Pareto efficiency and financial fairness under limited expected loss constraint

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