OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION
DOI10.1142/S0219024906003883zbMATH Open1138.91460OpenAlexW2003754680MaRDI QIDQ5487832FDOQ5487832
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
Recommendations
Portfolio theory (91G10) Stochastic programming (90C15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
- Coherent measures of risk
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- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
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- Using copulae to bound the value-at-risk for functions of dependent risks
- Universal Portfolios
- Optimal portfolios with bounded capital at risk.
- Theory of constant proportion portfolio insurance
- Safety First and the Holding of Assets
- On‐Line Portfolio Selection Using Multiplicative Updates
- 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
- Title not available (Why is that?)
- 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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