Quantile portfolio optimization under risk measure constraints

DOI10.1007/s00245-013-9201-9zbMath1287.91131OpenAlexW2079684391MaRDI QIDQ2441473

Luis D. Cahuich, Daniel Hernández-Hernández

Publication date: 24 March 2014

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

Full work available at URL: https://doi.org/10.1007/s00245-013-9201-9

zbMATH Keywords

portfolio optimizationquantile functiondistortion risk measurerisk quantification

Mathematics Subject Classification ID

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

Related Items (3)

Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory ⋮ Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets ⋮ On the predictive risk in misspecified quantile regression

Cites Work

• Portfolio insurance under a risk-measure constraint
• Utility maximization under a shortfall risk constraint
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• Cumulative prospect theory and the St. Petersburg paradox
• Coherent Measures of Risk
• HOPE, FEAR, AND ASPIRATIONS
• PORTFOLIO CHOICE VIA QUANTILES
• Law invariant risk measures have the Fatou property
• ONE‐PARAMETER FAMILIES OF DISTORTION RISK MEASURES
• Prospect Theory: An Analysis of Decision under Risk
• The Probability Weighting Function
• Optimal Control of Favorable Games with a Time Limit
• The Dual Theory of Choice under Risk
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