Optimal HARA investments with terminal VaR constraints

DOI10.1155/2022/6357701zbMath1496.91079OpenAlexW4229454424MaRDI QIDQ2153966

Marcos Escobar Anel, Maximilian Keller, Rudi Zagst

Publication date: 13 July 2022

Published in: Advances in Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2022/6357701

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cites Work

• Stochastic dominance of portfolio insurance strategies OBPI versus CPPI
• Theory of constant proportion portfolio insurance
• Optimal investment under VaR-regulation and minimum insurance
• Portfolio optimization under Solvency II
• A dynamic programming approach to constrained portfolios