Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection

DOI10.1016/j.ejor.2019.01.045zbMath1431.91357OpenAlexW2911772153WikidataQ128456051 ScholiaQ128456051MaRDI QIDQ666996

Yun Shi, Xiangyu Cui, Shu-Shang Zhu, Jian-Jun Gao

Publication date: 12 March 2019

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2019.01.045

zbMATH Keywords

investment analysistime-consistent strategyconditional value-at-riskmulti-period mean-CVaR portfolio selectionself-coordination strategy

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Applications of mathematical programming (90C90) Portfolio theory (91G10)

Related Items (11)

Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation ⋮ Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory ⋮ Survey on multi-period mean-variance portfolio selection model ⋮ An analysis of dollar cost averaging and market timing investment strategies ⋮ Two-stage international portfolio models with higher moment risk measures ⋮ Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent? ⋮ Distributionally robust multi-period portfolio selection subject to bankruptcy constraints ⋮ Adaptive online portfolio selection with transaction costs ⋮ Copula-based Black-Litterman portfolio optimization ⋮ Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR ⋮ OPTIMAL CONTROL OF THE DECUMULATION OF A RETIREMENT PORTFOLIO WITH VARIABLE SPENDING AND DYNAMIC ASSET ALLOCATION

Cites Work

• Portfolio optimization in a regime-switching market with derivatives
• Multi-objective portfolio optimization considering the dependence structure of asset returns
• Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
• A theory of Markovian time-inconsistent stochastic control in discrete time
• Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion
• Continuous time mean variance asset allocation: a time-consistent strategy
• Handling CVaR objectives and constraints in two-stage stochastic models
• Utility maximization under a shortfall risk constraint
• Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
• The Dalang-Morton-Willinger theorem under cone constraints.
• Self-coordination in time inconsistent stochastic decision problems: a planner-doer game framework
• Robust multiobjective portfolio optimization: A minimax regret approach
• Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
• Solving two-stage stochastic programming problems with level decomposition
• Coherent multiperiod risk adjusted values and Bellman's principle
• Time consistent dynamic risk measures
• Choice and Procrastination
• Coherent Measures of Risk
• Timing and Self-Control
• Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
• Lectures on Stochastic Programming
• Temptation and Self-Control
• BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
• Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time
• Multiperiod Mean-CVaR Portfolio Selection
• MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
• Self-Control and the Theory of Consumption
• Credit risk optimization with conditional Value-at-Risk criterion

This page was built for publication: Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection