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Precommitted strategies with initial-time and intermediate-time value-at-risk constraints - MaRDI portal

Precommitted strategies with initial-time and intermediate-time value-at-risk constraints

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Publication:6636814

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DOI10.1007/s10957-024-02537-9MaRDI QIDQ6636814

Jia-Wen Gu, Chufang Wu, Chi-Wing Wong, Wai-Ki Ching

Publication date: 12 November 2024

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

portfolio optimization value-at-risk expected utility maximization compound options pro-cyclicality precommitted strategy intermediate-time risk measure

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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