Portfolio Risk Management with CVaR-Like Constraints

DOI10.1080/10920277.2010.10597579zbMath1219.91132OpenAlexW3122424748MaRDI QIDQ3088971

Luis F. Zuluaga, Ruilin Tian, Yijia Lin, S. H. jun. Cox

Publication date: 23 August 2011

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2010.10597579

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10)

Related Items (5)

Pension risk management with funding and buyout options ⋮ Portfolio Optimization under Solvency Constraints: A Dynamical Approach ⋮ Dynamic hedging of conditional value-at-risk ⋮ De-risking defined benefit plans ⋮ Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk

Cites Work

• Unnamed Item
• Shortfall as a risk measure: properties, optimization and applications
• Coherent Measures of Risk

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