Mean-expectile portfolio selection

DOI10.1007/s00245-019-09601-1zbMath1468.91142OpenAlexW2968510887WikidataQ127339619 ScholiaQ127339619MaRDI QIDQ2041013

Chengguo Weng, David Saunders, Hongcan Lin

Publication date: 15 July 2021

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-019-09601-1

zbMATH Keywords

performance measuresportfolio selectionefficient frontierexpectilesomega

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Cites Work

• Asymmetric Least Squares Estimation and Testing
• Scenario aggregation method for portfolio expectile optimization
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
• Expectiles, omega ratios and stochastic ordering
• Optimal investment strategies for participating contracts
• Optimal strategies under omega ratio
• On dynamic measure of risk
• Generalized quantiles as risk measures
• Continuous-time mean-risk portfolio selection
• Coherent Measures of Risk
• Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR
• Optimal reinsurance with expectile

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