Efficient frontier of utility and CVaR

DOI10.1007/S00186-008-0234-9zbMATH Open1182.90094OpenAlexW2059526210MaRDI QIDQ836867FDOQ836867

Authors: Harry Zheng 

Publication date: 9 September 2009

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-008-0234-9

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zbMATH Keywords

incomplete constrained markettwo stage optimization

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Dynamic programming in optimal control and differential games (49L20)

Cites Work

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• CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
• Dual formulation of the utility maximization problem under transaction costs
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Probability methods for approximations in stochastic control and for elliptic equations
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• Utility maximization under a shortfall risk constraint
• Dynamic Portfolio Optimization with Bounded Shortfall Risks

Cited In (4)

• Utility-deviation-risk portfolio selection
• The optimal harvesting problem under price uncertainty: the risk averse case
• Efficient frontier cutoff policies in credit portfolios
• From Loewner-captive Hermitian diffusions to risk-captive efficient frontiers

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