MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS

DOI10.1111/j.1467-9965.2009.00378.xzbMath1168.91398arXiv0706.0480OpenAlexW2265464138MaRDI QIDQ3393979

Gordan Žitković, Traian A. Pirvu

Publication date: 28 August 2009

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

Full work available at URL: https://arxiv.org/abs/0706.0480

zbMATH Keywords

stochastic controlergodic controlvalue-at-riskmathematical financeportfolio constraintstail value-at-riskgrowth-optimal portfolio

Mathematics Subject Classification ID

Related Items (3)

THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS ⋮ Growth Optimal Portfolio Insurance in Continuous and Discrete Time ⋮ DYNAMIC PORTFOLIO SELECTION UNDER CAPITAL-AT-RISK WITH NO SHORT-SELLING CONSTRAINTS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Long-term average cost control problems for continuous time Markov processes: A survey
• Dynamic monetary risk measures for bounded discrete-time processes
• Capital growth with security
• Optimal portfolios under a value-at-risk constraint
• Equilibrium impact of value-at-risk regulation
• Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
• Admissible investment strategies in continuous trading
• Convex measures of risk and trading constraints
• Optimal long term growth rate of expected utility of wealth
• Conditional preferences and updating.
• Risk sensitive asset management with transaction costs
• Robust utility maximization with limited downside risk in incomplete markets
• Coherent multiperiod risk adjusted values and Bellman's principle
• Dynamic coherent risk measures
• Conditional and dynamic convex risk measures
• Risk-Sensitive Control and an Optimal Investment Model
• Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility
• Optimal Portfolios with Bounded Capital at Risk
• OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
• An algorithm for maximizing expected log investment return
• Optimal Dynamic Trading Strategies with Risk Limits
• Optimal portfolio policies under fixed and proportional transaction costs
• Optimization Problems in the Theory of Continuous Trading
• Stationary control of Brownian motion in several dimensions
• Asymptotic Evolution of a Stochastic Control Problem
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• On a free boundary problem that arises in portfolio management
• A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
• Pareto Equilibria with coherent measures of risk
• Theory of optimal consumption and portfolio selection under a Capital-at-Risk (CaR) and a Value-at-Risk (VaR) constraint
• Dynamic Portfolio Optimization with Bounded Shortfall Risks
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions
• COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
• Application of Coherent Risk Measures to Capital Requirements in Insurance
• Coherent risk measures and good-deal bounds

This page was built for publication: MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS