Optimal portfolios under dynamic shortfall constraints

MaRDI QIDQ635004zbMATH OpenFDO

Authors Daniel Akume, B. Luderer, R. Wunderlich

Publication date 17 August 2011

Published in Afrika Statistika (Search for Journal in Brave)

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)

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(11)

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• Optimal portfolio strategy under rolling economic maximum drawdown constraints
• OPTIMAL PORTFOLIO CHOICE WITH CRASH RISK AND MODEL AMBIGUITY
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