Utility maximization under a shortfall risk constraint
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Publication:952687
DOI10.1016/J.JMATECO.2008.01.002zbMATH Open1152.91031OpenAlexW1983341905MaRDI QIDQ952687FDOQ952687
Publication date: 13 November 2008
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmateco.2008.01.002
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Cited In (21)
- A cooperative bargaining framework for decentralized portfolio optimization
- Efficient frontier of utility and CVaR
- Optimal portfolio policies under bounded expected loss and partial information
- Risk management with multiple VaR constraints
- Robust Framework for Quantifying the Value of Information in Pricing and Hedging
- Optimal investment-reinsurance policy with regime switching and value-at-risk constraint
- Utility Maximization Under Bounded Expected Loss
- On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution
- Robust utility maximization with limited downside risk in incomplete markets
- Utility maximization under risk constraints and incomplete information for a market with a change point
- Risk averse submodular utility maximization
- Portfolio optimization under shortfall risk constraint
- Precommitted strategies with initial-time and intermediate-time value-at-risk constraints
- Quantile portfolio optimization under risk measure constraints
- Optimal investment under dynamic risk constraints and partial information
- Robust portfolio selection under recovery average value at risk
- Subgame-perfect equilibrium strategies for time-inconsistent recursive stochastic control problems
- Optimal portfolios with regime switching and value-at-risk constraint
- Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time
- Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection
- The importance of dynamic risk constraints for limited liability operators
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