Optimal dynamic portfolio selection with earnings-at-risk

DOI10.1007/s10957-007-9184-2zbMath1148.91019OpenAlexW2018081595MaRDI QIDQ946329

Hailiang Yang, Xiaotie Deng, Zhong-Fei Li

Publication date: 23 September 2008

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

Full work available at URL: http://hdl.handle.net/10722/54353

zbMATH Keywords

dynamic portfolio optimizationBlack-Scholes financial marketconstantly-rebalanced portfoliosearnings-at-risk

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (1)

A class of chance constrained multi-objective portfolio selection model under fuzzy random environment

Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
• Statistical analysis of financial networks
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• Coherent Measures of Risk
• Optimal Portfolios with Bounded Capital at Risk
• On‐Line Portfolio Selection Using Multiplicative Updates
• Safety First and the Holding of Assets

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