Utility maximization under a shortfall risk constraint
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utility maximizationsemimartingalesconvex risk measuresoptimal portfolio choiceutility-based shortfall risk
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Cites work
- scientific article; zbMATH DE number 2127976 (Why is no real title available?)
- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
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- DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
- Duality theory for optimal investments under model uncertainty
- Dynamic Portfolio Optimization with Bounded Shortfall Risks
- Finite utility on financial markets with asymmetric information and structure properties of the price dynamics
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Maxmin expected utility with non-unique prior
- Minimax and minimal distance martingale measures and their relationship to portfolio optimization
- Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
- Non-time additive utility optimization -- the case of certainty
- On the Existence of Minimax Martingale Measures
- Optimal Investments for Robust Utility Functionals in Complete Market Models
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal consumption choice with intertemporal substitution
- Optimal investments for risk- and ambiguity-averse preferences: a duality approach
- Optimum consumption and portfolio rules in a continuous-time model
- Robust projections in the class of martingale measures
- Robust utility maximization for complete and incomplete markets
- Robust utility maximization with limited downside risk in incomplete markets
- Stochastic finance. An introduction in discrete time
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- The mathematics of arbitrage
Cited in
(25)- A cooperative bargaining framework for decentralized portfolio optimization
- Robust utility maximization, \(f\)-projections, and risk constraints.
- Efficient frontier of utility and CVaR
- Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time
- Risk management with multiple VaR constraints
- Optimal portfolio policies under bounded expected loss and partial information
- Optimal portfolio strategies benchmarking the stock market
- Decision-making under risk: when is utility-maximization equivalent to risk-minimization?
- Optimal investment-reinsurance policy with regime switching and value-at-risk constraint
- Robust Framework for Quantifying the Value of Information in Pricing and Hedging
- 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
- Dynamic utility maximization with bounded shortfall risks
- Risk averse submodular utility maximization
- Utility maximization under risk constraints and incomplete information for a market with a change point
- 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
- Optimal portfolios with regime switching and value-at-risk constraint
- Subgame-perfect equilibrium strategies for time-inconsistent recursive stochastic control problems
- 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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