Short communication: Monte Carlo expected wealth and risk measure trade-off portfolio optimization

DOI10.1137/23M1624439MaRDI QIDQ6557366zbMATH OpenFDO

Authors R. A. E. Mäkinen, Jari Toivanen

Publication date 18 June 2024

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

zbMATH Keywords

constrained optimizationMonte Carlo simulationmean-variance optimizationdynamic portfolio managementmean-semivariance optimization

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Methods of successive quadratic programming type (90C55) Numerical methods (including Monte Carlo methods) (91G60) Nonlinear programming (90C30) Portfolio theory (91G10)

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Cites work

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• Continuous-time mean-risk portfolio selection
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• Deep hedging
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• Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
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• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
• Vibrato Monte Carlo sensitivities

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