Portfolio optimization with wealth-dependent risk constraints
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Publication:5073019
DOI10.1080/03461238.2021.1962962zbMATH Open1490.91173OpenAlexW3048305878MaRDI QIDQ5073019FDOQ5073019
Authors: Marcos Escobar Anel, Markus Wahl, R. Zagst 
Publication date: 5 May 2022
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2021.1962962
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Cites Work
- Convex Analysis
- Convex duality in constrained portfolio optimization
- Theory of constant proportion portfolio insurance
- Stochastic dominance of portfolio insurance strategies OBPI versus CPPI
- Consumption-Investment Models with Constraints
- A dynamic programming approach to constrained portfolios
- Optimal constrained investment in the Cramer-Lundberg model
- Continuous-time portfolio optimization under terminal wealth constraints
- Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
- Dynamic asset liability management with tolerance for limited shortfalls
- Optimal portfolios with a positive lower bound on final wealth
- Optimal consumption and portfolio selection with portfolio constraints
- Consumption and investment under constraints
- Constrained non-concave utility maximization: an application to life insurance contracts with guarantees
- OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION
- Non-transferable non-hedgeable executive stock option pricing
- Optimal investment of DC pension plan under short-selling constraints and portfolio insurance
- Optimal investment-reinsurance with dynamic risk constraint and regime switching
- Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan
- Portfolio optimization under Solvency II
- Optimal asset allocation for participating contracts under the VaR and PI constraint
Cited In (6)
- Finite horizon portfolio selection with a negative wealth constraint
- Portfolio Optimization with Risk Control by Stochastic Dominance Constraints
- Portfolio Optimization with Combinatorial and Downside Return Constraints
- Portfolio optimization for wealth-dependent risk preferences
- PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
- Continuous-time Markowitz's model with constraints on wealth and portfolio
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