Utility-deviation-risk portfolio selection
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Cites work
- A NOTE ON SEMIVARIANCE
- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
- Continuous-time mean-risk portfolio selection
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
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- Controlled Markov processes and viscosity solutions
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- Efficient frontier of utility and CVaR
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Cited in
(10)- Mean-risk portfolio management with bankruptcy prohibition
- Risk preference and indirect utility in portfolio-choice problems
- A level-set approach for stochastic optimal control problems under controlled-loss constraints
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- Non-concave expected utility optimization with uncertain time horizon
- On the solution uniqueness in portfolio optimization and risk analysis
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