Dynamic mean-variance portfolios with risk budget

DOI10.1142/S0219024920500077MaRDI QIDQ5221483zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

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

Mathematics Subject Classification ID

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

Recommendations

• Dynamic mean-VaR portfolio selection in continuous time
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Cites work

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

Cited in

(3)

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

Describes a project that uses

Uses Software

• Dowd

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