Design of efficient investment portfolios with a shortfall probability as a measure of risk

DOI10.1134/s0005117923040070zbMath1521.91332OpenAlexW4386004538MaRDI QIDQ6094337

A. Yu. Golubin, V. N. Gridin

Publication date: 13 September 2023

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117923040070

zbMATH Keywords

risk analysisportfolio optimizationvalue at riskshortfall probability

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Measures of risk
• Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
• Generalized deviations in risk analysis
• Coherent Measures of Risk
• Optimal investment policy in a multi-stage problem with bankruptcy and stage-by-stage probability constraints
• Tail Conditional Expectations for Elliptical Distributions
• Static and dynamic VaR constrained portfolios with application to delegated portfolio management

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