Utility Maximization Under Bounded Expected Loss
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Cites work
- A generalized clark representation formula, with application to optimal portfolios
- A variational problem arising in financial economics
- An extension of clark' formula
- Coherent measures of risk
- Dynamic Portfolio Optimization with Bounded Shortfall Risks
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal portfolio strategies benchmarking the stock market
- Optimal portfolios under bounded shortfall risk and partial information
- Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
- PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
- Risk Management with Benchmarking
- Utility maximization under a shortfall risk constraint
Cited in
(30)- Robust expected utility maximization with medial limits
- Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading
- Optimal investment under VaR-regulation and minimum insurance
- Beyond expected utility: subjective risk aversion and optimal portfolio choice under convex shortfall risk measures
- Risk management with expected shortfall
- Portfolio optimization under shortfall risk constraint
- Maximum-loss, minimum-win and the Esscher pricing principle
- Dynamic utility maximization with bounded shortfall risks
- scientific article; zbMATH DE number 2046394 (Why is no real title available?)
- Optimal investment under dynamic risk constraints and partial information
- Less is more: increasing retirement gains by using an upside terminal wealth constraint
- Disparity, shortfall, and twice-endogenous HARA utility
- scientific article; zbMATH DE number 7564067 (Why is no real title available?)
- Dynamic Portfolio Optimization with Bounded Shortfall Risks
- Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time
- Optimal portfolios under bounded shortfall risk and partial information
- Entropic risk constraints for utility maximization
- Optimal portfolios with expected loss constraints and shortfall risk optimal martingale measures
- IMPLEMENTING INDIVIDUAL SAVINGS DECISIONS FOR RETIREMENT WITH BOUNDS ON WEALTH
- BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO
- Shortfall risk minimization: the dual approach
- Optimal portfolio policies under bounded expected loss and partial information
- Portfolio performance under benchmarking relative loss and portfolio insurance: From omega ratio to loss aversion
- OPTIMAL INVESTMENT UNDER PARTIAL INFORMATION AND ROBUST VAR-TYPE CONSTRAINT
- Risk management under weighted limited expected loss
- Dynamic growth-optimal portfolio choice under risk control
- Pareto efficiency and financial fairness under limited expected loss constraint
- Risk-constrained portfolio choice under rank-dependent utility
- Relative portfolio optimization via a value at risk based constraint
- Utility maximization under a shortfall risk constraint
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