Utility-Deviation-Risk Portfolio Selection
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Publication:5270329
DOI10.1137/140986256zbMath1366.91147OpenAlexW2627013288MaRDI QIDQ5270329
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Publication date: 23 June 2017
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/01a5baba1afa0de9471a270b79ddc67021871a4b
portfolio selectionsemivariancenonlinear moment problemdeviation risk functiondownside deviation risk
Statistical methods; risk measures (91G70) Optimal stochastic control (93E20) Portfolio theory (91G10)
Related Items (7)
A Risk Extended Version of Merton’s Optimal Consumption and Portfolio Selection ⋮ Non-concave expected utility optimization with uncertain time horizon ⋮ A level-set approach for stochastic optimal control problems under controlled-loss constraints ⋮ Mean-risk portfolio management with bankruptcy prohibition ⋮ Closed-Loop Equilibrium Strategies for General Time-Inconsistent Optimal Control Problems ⋮ Constrained Utility Deviation-Risk Optimization and Time-Consistent HJB Equation ⋮ Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts
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