Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading

DOI10.1515/strm-2017-0001zbMath1377.91151arXiv1602.00570OpenAlexW2964235585MaRDI QIDQ1688725

Ralf Wunderlich, Imke Redeker

Publication date: 11 January 2018

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.00570

zbMATH Keywords

stochastic optimal controldynamic risk measureconsumption-investment problemdiscrete-time approximationMarkov decision problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items

Discrete-Time Portfolio Optimization under Maximum Drawdown Constraint with Partial Information and Deep Learning Resolution, Dynamic Optimization of Investment Portfolio under Liquidity with Taylor Extension of Value function

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Markov decision processes with applications to finance.
• Optimal portfolios under a value-at-risk constraint
• Equilibrium impact of value-at-risk regulation
• Continuous-time stochastic control and optimization with financial applications
• Optimal consumption and investment under partial information
• Controlled Markov processes and viscosity solutions
• Coherent Measures of Risk
• Partially observable stochastic optimal control problems for an energy storage
• Optimal Dynamic Trading Strategies with Risk Limits
• Utility Maximization Under Bounded Expected Loss
• Portfolio optimization under the Value-at-Risk constraint
• Optimal expected exponential utility of dividend payments in a Brownian risk model
• The Relaxed Investor with Partial Information
• Computational Partial Differential Equations Using MATLAB®
• The relaxed investor and parameter uncertainty