Optimal investment policy in a multi-stage problem with bankruptcy and stage-by-stage probability constraints

DOI10.1080/02331934.2021.1892674zbMATH Open1500.91123OpenAlexW3135009363MaRDI QIDQ5039397FDOQ5039397

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Publication date: 12 October 2022

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2021.1892674

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zbMATH Keywords

bankruptcymulti-stage portfolio optimizationvalue at risk constraint

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

Cites Work

• Tail Conditional Expectations for Elliptical Distributions
• Measures of risk
• Multi-period optimization portfolio with bankruptcy control in stochastic market
• Multi-period portfolio optimization for asset-liability management with bankrupt control
• An Active Set Method for Single-Cone Second-Order Cone Programs
• Subdifferential characterization of probability functions under Gaussian distribution
• Eventual convexity of probability constraints with elliptical distributions
• Static and dynamic VaR constrained portfolios with application to delegated portfolio management

Cited In (4)

• Design of efficient investment portfolios with a shortfall probability as a measure of risk
• A multi-period constrained multi-objective evolutionary algorithm with orthogonal learning for solving the complex carbon neutral stock portfolio optimization model
• Capital requirements and optimal investment with solvency probability constraints
• Bankruptcy prevention in multiperiod Markowitz optimization problem

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