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

DOI10.1080/02331934.2021.1892674MaRDI QIDQ5039397zbMATH OpenOpenAlexFDO

Authors

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

zbMATH Keywords

bankruptcymulti-stage portfolio optimizationvalue at risk constraint

Mathematics Subject Classification ID

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

Recommendations

• Multi-period optimization portfolio with bankruptcy control in stochastic market
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• 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

(6)

• Bankruptcy prevention in multiperiod Markowitz optimization problem
• Capital requirements and optimal investment with solvency probability constraints
• A multi-period constrained multi-objective evolutionary algorithm with orthogonal learning for solving the complex carbon neutral stock portfolio optimization model
• Design of efficient investment portfolios with a shortfall probability as a measure of risk
• Optimal strategies in controlled Markov chains under a stochastic discount factor with applications to investment models
• A method of optimal investment with stage-by-stage conditional value at risk (CVaR) constraints and known parameters of return vectors

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