Optimal portfolios under a value-at-risk constraint
From MaRDI portal
Publication:953643
DOI10.1016/S0165-1889(03)00116-7zbMath1200.91286OpenAlexW2115814664MaRDI QIDQ953643
Publication date: 6 November 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1889(03)00116-7
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (31)
Risk management with multiple VaR constraints ⋮ Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR ⋮ Optimal reinsurance under dynamic VaR constraint ⋮ Solution of Hamilton-Jacobi-Bellman equation in optimal reinsurance strategy under dynamic VaR constraint ⋮ Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time ⋮ Dynamic mean–VaR portfolio selection in continuous time ⋮ Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model ⋮ Optimal management of DC pension plan under loss aversion and value-at-risk constraints ⋮ Portfolio selection based on a benchmark process with dynamic value-at-risk constraints ⋮ Optimal and coherent economic-capital structures: evidence from long and short-sales trading positions under illiquid market perspectives ⋮ Maximizing expected exponential utility of consumption with a constraint on expected time in poverty ⋮ Optimal investment of an insurer with regime-switching and risk constraint ⋮ Optimal consumption-portfolio problem with CVaR constraints ⋮ Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time ⋮ Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading ⋮ Optimal expected utility of dividend payments with proportional reinsurance under VaR constraints and stochastic interest rate ⋮ Optimal selection of a portfolio of options under value-at-risk constraints: a scenario approach ⋮ The optimal mean-variance investment strategy under value-at-risk constraints ⋮ Optimal investment-reinsurance policy for an insurance company with VaR constraint ⋮ Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets ⋮ Optimal investment-reinsurance policy with regime switching and value-at-risk constraint ⋮ Optimal investment under dynamic risk constraints and partial information ⋮ Optimal portfolios with regime switching and value-at-risk constraint ⋮ Portfolio optimization under the Value-at-Risk constraint ⋮ Portfolio choices and VaR constraint with a defaultable asset ⋮ A firm's optimizing behaviour under a value-at-risk constraint ⋮ MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS ⋮ Dynamic mean-risk optimization in a binomial model ⋮ Using value-at-risk to reconcile limited liability and the moral-hazard problem ⋮ Optimal investment-reinsurance with dynamic risk constraint and regime switching ⋮ Utility-Deviation-Risk Portfolio Selection
Cites Work
This page was built for publication: Optimal portfolios under a value-at-risk constraint
