PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
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Publication:5488976
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Cited in
(41)- Portfolio optimization with wealth-dependent risk constraints
- A dynamic programming approach to constrained portfolios
- Portfolio selection with transaction costs under expected shortfall constraints
- Near-optimal asset allocation in financial markets with trading constraints
- Portfolio-consumption choice problem with voluntary retirement and consumption constraints
- Finite time-horizon optimal investment and consumption with time-varying subsistence consumption constraints
- Portfolio selection with subsistence consumption constraints and CARA utility
- Comparison of optimal portfolios with and without subsistence consumption constraints
- A dynamic programming approach to path-dependent constrained portfolios
- Optimal portfolio selection strategies under some constraints
- Optimal consumption, investment, and insurance under state-dependent risk aversion
- Optimal consumption and portfolio selection with lower and upper bounds on consumption
- Consumption-portfolio choice with subsistence consumption and risk aversion change at retirement
- Optimal consumption and investment under time-varying relative risk aversion
- Optimal life-cycle consumption and investment decisions under age-dependent risk preferences
- Multiperiod optimal investment-consumption strategies with mortality risk and environment uncertainty
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- Utility Maximization Under Bounded Expected Loss
- Optimal consumption and portfolio selection with negative wealth constraints, subsistence consumption constraints, and CARA utility
- A martingale approach for asset allocation with derivative security and hidden economic risk
- An optimal consumption, investment and voluntary retirement choice problem with disutility and subsistence consumption constraints: a dynamic programming approach
- An optimal investment, consumption-leisure and voluntary retirement choice problem with subsistence consumption constraints
- Optimal investment with deferred capital gains taxes
- Increasing risk aversion and life-cycle investing
- Optimal consumption and portfolio selection with quadratic utility and a subsistence consumption constraint
- Precommitted strategies with initial-time and intermediate-time value-at-risk constraints
- Enhancement of the applicability of Markowitz's portfolio optimization by utilizing random matrix theory
- Optimal consumption and portfolio selection problem with downside consumption constraints
- Minimizing a stochastic convex function subject to stochastic constraints and some applications
- Optimal investment, consumption and retirement choice problem with disutility and subsistence consumption constraints
- Drawdown beta and portfolio optimization
- Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate
- Household investment-consumption-insurance policies under the age-dependent risk preferences
- Optimal consumption and portfolio selection problems under loss aversion with downside consumption constraints
- An optimal consumption and investment problem with quadratic utility and subsistence consumption constraints: a dynamic programming approach
- Optimal portfolio policies under bounded expected loss and partial information
- Construction of a portfolio with shorter downside tail and longer upside tail
- Portfolio optimization model with and without options under additional constraints
- A consumption-investment model with state-dependent lower bound constraint on consumption
- Optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints
- Portfolio Optimization with Combinatorial and Downside Return Constraints
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