Optimal investment policy in a multi-stage problem with bankruptcy and stage-by-stage probability constraints
From MaRDI portal
Publication:5039397
Recommendations
- Multi-period optimization portfolio with bankruptcy control in stochastic market
- Multi-period portfolio optimization for asset-liability management with bankrupt control
- Bankruptcy prevention in multiperiod Markowitz optimization problem
- Optimal investment for minimizing the probability of lifetime ruin
- Optimal investment with a value-at-risk constraint
Cites work
- An Active Set Method for Single-Cone Second-Order Cone Programs
- Eventual convexity of probability constraints with 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
- Static and dynamic VaR constrained portfolios with application to delegated portfolio management
- Subdifferential characterization of probability functions under Gaussian distribution
- Tail Conditional Expectations for Elliptical Distributions
Cited in
(4)- Bankruptcy prevention in multiperiod Markowitz optimization problem
- 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
This page was built for publication: Optimal investment policy in a multi-stage problem with bankruptcy and stage-by-stage probability constraints
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5039397)
