Dynamic value at risk under optimal and suboptimal portfolio policies.

DOI10.1016/S0377-2217(01)00039-XMaRDI QIDQ5952434zbMATH OpenOpenAlexFDO

Authors Gianluca Fusai, Elisa Luciano

Publication date 2001

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0377-2217(01)00039-x

zbMATH Keywords

Optimal portfolio policiesPortfolio managementRisk analysisValue at risk

Mathematics Subject Classification ID

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Cites work

• Coherent measures of risk
• Euler scheme for reflected stochastic differential equations
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 942202 (Why is no real title available?)
• scientific article; zbMATH DE number 3222431 (Why is no real title available?)
• On the local time of the Brownian motion
• Portfolio Selection with Transaction Costs

Cited in

(18)

• Three-objective fuzzy chance-constrained programming model for multiproject and multi-item investment combination
• Risk-hedging in real estate markets
• Market risk budgeting with value-at-risk-limits for linear positions
• Analysis of the conditional stock-return distribution under incomplete specification.
• \textit{Ex-ante} real estate value at risk calculation method
• Volatility versus downside risk: performance protection in dynamic portfolio strategies
• MaxVaR with non-Gaussian distributed returns
• VALUE-AT-RISK ESTIMATION FOR DYNAMIC HEDGING
• A linearized value-at-risk model with transaction costs and short selling
• Optimal Dynamic Trading Strategies with Risk Limits
• Dynamic portfolio choice when risk is measured by weighted VaR
• A difference of convex formulation of value-at-risk constrained optimization
• Multistage risk premiums in portfolio optimization
• Portfolio choices and VaR constraint with a defaultable asset
• Risk horizon and rebalancing horizon in portfolio risk measurement
• A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes
• scientific article; zbMATH DE number 7400752 (Why is no real title available?)
• Small perturbations with large effects on value-at-risk

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