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

DOI10.1080/02331934.2021.1892674zbMath1500.91123OpenAlexW3135009363MaRDI QIDQ5039397

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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

zbMATH Keywords

bankruptcymulti-stage portfolio optimizationvalue at risk constraint

Mathematics Subject Classification ID

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

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Cites Work

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

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