Portfolio optimization under entropic risk management

DOI10.1007/S10114-009-7524-XMaRDI QIDQ839733zbMATH OpenOpenAlexFDO

Authors N. E. Zubov

Publication date 3 September 2009

Published in Acta Mathematica Sinica, English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10114-009-7524-x

zbMATH Keywords

portfolio optimizationrisk managemententropic risk measure

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Entropic risk constraints for utility maximization
• Quantile portfolio optimization under risk measure constraints
• Risk measures in the portfolio optimization problems
• Security portfolio management based on combined entropic risk measures
• Portfolio insurance under a risk-measure constraint

Cites work

• scientific article; zbMATH DE number 2133102 (Why is no real title available?)
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• scientific article; zbMATH DE number 1795842 (Why is no real title available?)
• scientific article; zbMATH DE number 1795843 (Why is no real title available?)
• Adapted solution of a backward stochastic differential equation
• BSDE with quadratic growth and unbounded terminal value
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Coherent measures of risk
• Conditional and dynamic convex risk measures
• Convex measures of risk and trading constraints
• Convex risk measures for portfolio optimization and concepts of flexibility
• Foundations of Modern Probability
• Some estimates on exponentials of solutions to stochastic differential equations
• The maximum principle for one kind of stochastic optimization problem and application in dynamic measure of risk
• The optimal portfolio problem with coherent risk measure constraints.

Cited in

(18)

• Computation and analysis for a constrained entropy optimization problem in finance
• Entropic risk measures and their comparative statics in portfolio selection: coherence vs. convexity
• Optimal investment with risk controlled by weighted entropic risk measures
• Entropic risk constraints for utility maximization
• DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
• Risk measures in the portfolio optimization problems
• scientific article; zbMATH DE number 1536483 (Why is no real title available?)
• Dynamic portfolio management with views at multiple horizons
• Portfolio optimization with entropic value-at-risk
• scientific article; zbMATH DE number 2133127 (Why is no real title available?)
• Entropy model of the investment portfolio
• A new portfolio rebalancing model with transaction costs
• Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component
• Security portfolio management based on combined entropic risk measures
• Triangular entropy of uncertain variables with application to portfolio selection
• Portfolio selection using \(\lambda\) mean and hybrid entropy
• Incorporating views on marginal distributions in the calibration of risk models
• Portfolio optimization based on generalized information theoretic measures

This page was built for publication: Portfolio optimization under entropic risk management

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q839733)