Dynamic Portfolio Optimization with Bounded Shortfall Risks

DOI10.1081/SAP-200056690zbMath1121.91046MaRDI QIDQ5316803

Abdelali Gabih, Ralf Wunderlich, Wilfried Grecksch

Publication date: 15 September 2005

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

expected lossstochastic optimal controlportfolio optimizationvalue at riskmartingale methodrisk constraints

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (16)

Efficient frontier of utility and CVaR ⋮ Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR ⋮ Optimal payoffs for directionally closed acceptance sets ⋮ Optimal portfolio strategies benchmarking the stock market ⋮ Optimal Investment with Bounded VaR for Power Utility Functions ⋮ Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time ⋮ Utility maximization under risk constraints and incomplete information for a market with a change point ⋮ On the distribution tail of an integrated risk model: A numerical approach ⋮ Utility maximization under a shortfall risk constraint ⋮ Dynamic asset allocation under VaR constraint with stochastic interest rates ⋮ Optimal portfolio policies under bounded expected loss and partial information ⋮ Optimal design of equity-linked products with a probabilistic constraint ⋮ Portfolio optimization under shortfall risk constraint ⋮ MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS ⋮ Utility Maximization Under Bounded Expected Loss ⋮ Dynamic mean-risk optimization in a binomial model

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Coherent Measures of Risk
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon

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