Optimal portfolios under dynamic shortfall constraints

zbMATH Open1219.91123MaRDI QIDQ635004FDOQ635004

Authors: Daniel Akume, B. Luderer, R. Wunderlich 

Publication date: 17 August 2011

Published in: Afrika Statistika (Search for Journal in Brave)

Recommendations

• Optimal Dynamic Trading Strategies with Risk Limits
• Comparing value-at-risk and tail conditional expectation in shortfall-constrained portfolio selection
• The price of portfolio selection under tail conditional expectation with consumption cost and transaction cost
• scientific article; zbMATH DE number 6834275
• Dynamic Portfolio Optimization with Bounded Shortfall Risks

zbMATH Keywords

value-at-riskdynamic portfolio and consumption choicerisk measurement and managementtail conditional eypectation

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Portfolio theory (91G10)

Cited In (11)

• The price of portfolio selection under tail conditional expectation with consumption cost and transaction cost
• Optimal Dynamic Trading Strategies with Risk Limits
• Multiple Optimal Solutions in the Portfolio Selection Model with Short-Selling
• Comparing value-at-risk and tail conditional expectation in shortfall-constrained portfolio selection
• Dynamic Minimization of Worst Conditional Expectation of Shortfall
• Portfolio management under drawdown constraint in discrete-time financial markets
• Title not available (Why is that?)
• Optimal Portfolio Liquidation with Distress Risk
• OPTIMAL PORTFOLIO CHOICE WITH CRASH RISK AND MODEL AMBIGUITY
• Flexible shrinkage in portfolio selection
• Optimal portfolio strategy under rolling economic maximum drawdown constraints

This page was built for publication: Optimal portfolios under dynamic shortfall constraints

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q635004)