Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
From MaRDI portal
Publication:2338542
DOI10.1016/j.jedc.2019.103751zbMath1425.91395OpenAlexW2972636250MaRDI QIDQ2338542
Moris S. Strub, Xiangyu Cui, Li, Duan, Jian-Jun Gao
Publication date: 21 November 2019
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2019.103751
equity premium puzzleconditional value-at-risktime-inconsistencyoptimal investment strategiesmean-risk portfolio choicetime-consistency induced risk measure
Related Items
Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation ⋮ Pareto efficient buy and hold investment strategies under order book linked constraints ⋮ A note on monotone mean-variance preferences for continuous processes ⋮ Risk and potential: an asset allocation framework with applications to robo-advising ⋮ Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion ⋮ Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time ⋮ Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’ ⋮ Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent? ⋮ A worst-case risk measure by G-VaR ⋮ TWO STAGE DECUMULATION STRATEGIES FOR DC PLAN INVESTORS ⋮ Management of Portfolio Depletion Risk through Optimal Life Cycle Asset Allocation
Cites Work
- Unnamed Item
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
- Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection
- Portfolio selection with uncertain exit time: a robust CVaR approach
- Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Dynamic approaches for some time-inconsistent optimization problems
- Cone-constrained continuous-time Markowitz problems
- Portfolio management with robustness in both prediction and decision: a mixture model based learning approach
- A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
- The numéraire portfolio in semimartingale financial models
- Coherent multiperiod risk adjusted values and Bellman's principle
- Continuous-time mean-risk portfolio selection
- Optimal multi-period mean-variance policy under no-shorting constraint
- Time consistency and risk averse dynamic decision models: definition, interpretation and practical consequences
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- Prospect Theory and Asset Prices
- Coherent Measures of Risk
- Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR
- Dynamic utility-based good deal bounds
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- Empirical properties of asset returns: stylized facts and statistical issues
- Myopic Loss Aversion and the Equity Premium Puzzle
- BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
- Minimizing CVaR in global dynamic hedging with transaction costs
- Time Consistency of the Mean-Risk Problem
- Dynamic Risk Measures
- Loss Aversion with a State-Dependent Reference Point
- Management of Portfolio Depletion Risk through Optimal Life Cycle Asset Allocation
- Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time
