Time consistent multi-period robust risk measures and portfolio selection models with regime-switching

DOI10.1016/j.ejor.2018.01.009zbMath1403.91316OpenAlexW2782665533MaRDI QIDQ1754334

Zhiping Chen, Jia Liu

Publication date: 30 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2018.01.009

zbMATH Keywords

regime switchingrisk managementdistributionally robust optimizationmulti-period risk measuredynamic portfolio selection

Mathematics Subject Classification ID

Related Items (10)

Robust portfolio optimization: a categorized bibliographic review ⋮ Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty ⋮ Robust international portfolio optimization with worst-case mean-CVaR ⋮ Stability of a class of risk-averse multistage stochastic programs and their distributionally robust counterparts ⋮ Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set ⋮ Distributionally robust optimization with Wasserstein metric for multi-period portfolio selection under uncertainty ⋮ Time-consistent multiperiod mean semivariance portfolio selection with the real constraints ⋮ A constrained multi-period robust portfolio model with behavioral factors and an interval semi-absolute deviation ⋮ Equilibrium reinsurance-investment strategies with partial information and common shock dependence ⋮ Pandemic portfolio choice

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