Dynamic mean-variance portfolios with risk budget

DOI10.1142/S0219024920500077zbMATH Open1444.91200OpenAlexW3004155692MaRDI QIDQ5221483FDOQ5221483

Authors: Sheng-Feng Luo 

Publication date: 26 March 2020

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024920500077

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zbMATH Keywords

expected shortfallHamilton-Jacobi-Bellman equationportfolio selectionvalue-at-riskcertainty equivalencemedian shortfall

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cites Work

• Coherent measures of risk
• Stochastic calculus for finance. II: Continuous-time models.
• External risk measures and Basel accords
• Optimal Dynamic Trading Strategies with Risk Limits

Cited In (3)

• Sensitivity analysis of portfolio properties with budget constraints
• Risk budgeting portfolios: existence and computation
• The importance of dynamic risk constraints for limited liability operators

Uses Software

• Dowd

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