Quantile criterion-based control of the securities portfolio with a nonzero ruin probability

DOI10.1134/S0005117913050068zbMath1270.91084OpenAlexW2073442649MaRDI QIDQ2393019

Yu. S. Kan, T. V. Bunto

Publication date: 7 August 2013

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117913050068

zbMATH Keywords

optimal strategydynamic programminginvestments into securitiesnonzero ruin probability

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Applications of optimal control and differential games (49N90) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (6)

Probabilistic criterion-based optimal retention of trajectories of a discrete-time stochastic system in a given tube: bilateral estimation of the Bellman function ⋮ Bilateral estimation of the Bellman function in the problems of optimal stochastic control of discrete systems by the probabilistic performance criterion ⋮ The decomposition method for two-stage stochastic linear programming problems with quantile criterion ⋮ Optimal retention of the trajectories of a discrete-time stochastic system in a tube: one problem statement ⋮ Optimal control of a discrete-time stochastic system with a probabilistic criterion and a non-fixed terminal time ⋮ Refined estimation of the Bellman function for stochastic optimal control problems with probabilistic performance criterion

Cites Work

• Unnamed Item
• Control optimization by the quantile criterion
• Optimal control of the portfolio
• Optimal control of the investment portfolio with respect to the quantile criterion
• Portfolio optimization via stochastic programming: Methods of output analysis
• A Stochastic Programming Model

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