Acceptability maximization

DOI10.3934/fmf.2021009zbMath1498.91390arXiv2012.11972OpenAlexW3118200057MaRDI QIDQ2170297

Gabriela Kováčová, Igor Cialenco, Birgit Rudloff

Publication date: 30 August 2022

Published in: Frontiers of Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.11972

zbMATH Keywords

optimal portfolioacceptability indextail-value-at-riskgain-to-loss ratioacceptability maximizationdynamic performance measuresset-valued Bellman principle

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)

Cites Work

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• Time Consistency of the Mean-Risk Problem
• Dynamic Risk Measures
• A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time

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