Optimal capital growth with convex shortfall penalties

DOI10.1080/14697688.2015.1059469zbMath1468.91144OpenAlexW1588121425MaRDI QIDQ5001113

William T. Ziemba, Yonggan Zhao, Leonard C. MacLean

Publication date: 16 July 2021

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

Full work available at URL: http://eprints.lse.ac.uk/59292/

zbMATH Keywords

regime switchingportfolio selectionvalue at riskcapital growthconvex penalty

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (4)

Risk management with multiple VaR constraints ⋮ ON THE RELATION BETWEEN TWO APPROACHES TO EXTERIOR PENALTY METHOD FOR CONSTRAINED OPTIMAL CONTROL PROBLEMS ⋮ Kelly investing with downside risk control in a regime-switching market ⋮ Shrinkage estimation of Kelly portfolios

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• Stochastic Network Programming for Financial Planning Problems
• Prospect Theory: An Analysis of Decision under Risk
• Universal Portfolios
• On‐Line Portfolio Selection Using Multiplicative Updates

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