A note on - vs. -expected loss portfolio constraints
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Publication:4991071
DOI10.1080/14697688.2020.1764086zbMath1466.91287OpenAlexW3045581982MaRDI QIDQ4991071
Mogens Steffensen, Harry Zheng, Jia-Wen Gu
Publication date: 2 June 2021
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10044/1/79808
optimal portfolioexpected loss constraint\(\mathcal{Q}\)-strategy fulfilling \(\mathcal{P}\)-risk constraintphysical measure \(\mathcal{P}\)risk-neutral measure \(\mathcal{Q}\)
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Cites Work
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- A dynamic programming approach to constrained portfolios
- A benchmark approach to quantitative finance
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
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