Portfolio optimization with wealth-dependent risk constraints

DOI10.1080/03461238.2021.1962962MaRDI QIDQ5073019zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Solvency IIasset liability managementregulatory constraintsconvex duality theory for portfolio constraints

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Portfolio theory (91G10)

Recommendations

• Portfolio optimization for wealth-dependent risk preferences
• Portfolio optimization under the Value-at-Risk constraint
• scientific article; zbMATH DE number 5589677
• scientific article; zbMATH DE number 1944680
• Dynamic portfolio optimization with risk management and strategy constraints
• Optimal portfolios under a value-at-risk constraint
• Portfolio optimization with optimal expected utility risk measures
• Portfolio Optimization with Risk Control by Stochastic Dominance Constraints
• PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
• Portfolio optimization with a prescribed terminal wealth distribution

Cites work

• A dynamic programming approach to constrained portfolios
• Constrained non-concave utility maximization: an application to life insurance contracts with guarantees
• Consumption and investment under constraints
• Consumption-Investment Models with Constraints
• Continuous-time portfolio optimization under terminal wealth constraints
• Convex Analysis
• Convex duality in constrained portfolio optimization
• Dynamic asset liability management with tolerance for limited shortfalls
• Non-transferable non-hedgeable executive stock option pricing
• OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION
• Optimal asset allocation for participating contracts under the VaR and PI constraint
• Optimal constrained investment in the Cramer-Lundberg model
• Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
• Optimal consumption and portfolio selection with portfolio constraints
• Optimal investment of DC pension plan under short-selling constraints and portfolio insurance
• Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan
• Optimal investment-reinsurance with dynamic risk constraint and regime switching
• Optimal portfolios with a positive lower bound on final wealth
• Portfolio optimization under Solvency II
• Stochastic dominance of portfolio insurance strategies OBPI versus CPPI
• Theory of constant proportion portfolio insurance

Cited in

(8)

• Portfolio optimization under Solvency II
• Finite horizon portfolio selection with a negative wealth constraint
• Portfolio optimization under Solvency II: a multi-objective approach incorporating market views and real-world constraints
• 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

This page was built for publication: Portfolio optimization with wealth-dependent risk constraints

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5073019)