OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION

DOI10.1142/S0219024906003883MaRDI QIDQ5487832zbMATH OpenOpenAlexFDO

Authors Kai Wang Ng, Ken Seng Tan, Hailiang Yang, Zhongfei Li

Publication date 12 September 2006

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

Full work available at URL https://doi.org/10.1142/s0219024906003883

zbMATH Keywords

Black-Scholes modeldynamic portfolio optimizationearnings-at-riskconstant-rebalanced portfolios

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic programming (90C15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• Coherent measures of risk
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• On‐Line Portfolio Selection Using Multiplicative Updates
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Optimal portfolios with bounded capital at risk.
• Optimum consumption and portfolio rules in a continuous-time model
• Safety First and the Holding of Assets
• Theory of constant proportion portfolio insurance
• Universal Portfolios
• Using copulae to bound the value-at-risk for functions of dependent risks
• Worst VaR scenarios

Cited in

(8)

• A polynomial optimization approach to constant rebalanced portfolio selection
• Continuous-time optimal portfolio selection using mean-CaR models
• Amortized constant relaxed rebalancing using standard rotations
• scientific article; zbMATH DE number 5692060 (Why is no real title available?)
• Reactive investment strategies
• Dynamic portfolio selection under EaR
• Optimal dynamic portfolio selection with earnings-at-risk
• Portfolio selection with contrarian strategy

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