Dynamic mean–VaR portfolio selection in continuous time

DOI10.1080/14697688.2017.1298831zbMath1402.91743OpenAlexW3125887435WikidataQ57445399 ScholiaQ57445399MaRDI QIDQ4555169

Jiangjun Gao, Ke Zhou, Xiangyu Cui, Li, Duan

Publication date: 19 November 2018

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

Full work available at URL: https://doi.org/10.1080/14697688.2017.1298831

zbMATH Keywords

martingalesportfolio optimizationcontinuous time modelsrisk managementvalue at risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items

BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO, A multi-period constrained multi-objective evolutionary algorithm with orthogonal learning for solving the complex carbon neutral stock portfolio optimization model, Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time, Gray wolf optimization algorithm for multi-constraints second-order stochastic dominance portfolio optimization

Uses Software

• CPLEX
• RiskMetrics

Cites Work

• Unnamed Item
• Unnamed Item
• Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
• Conditional value-at-risk in portfolio optimization: coherent but fragile
• Optimal portfolios under a value-at-risk constraint
• Continuous-time stochastic control and optimization with financial applications
• A dynamic programming approach to constrained portfolios
• A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
• Continuous-time mean-risk portfolio selection
• Coherent Measures of Risk
• PORTFOLIO CHOICE VIA QUANTILES
• Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR
• External Risk Measures and Basel Accords
• Safety First and the Holding of Assets
• BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
• Stochastic finance. An introduction in discrete time