Utility maximization under a shortfall risk constraint

DOI10.1016/j.jmateco.2008.01.002zbMath1152.91031OpenAlexW1983341905MaRDI QIDQ952687

Anne Gundel, Stefan Weber

Publication date: 13 November 2008

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2008.01.002

zbMATH Keywords

semimartingalesutility maximizationconvex risk measuresoptimal portfolio choiceutility-based shortfall risk

Mathematics Subject Classification ID

Related Items (16)

Risk management with multiple VaR constraints ⋮ Efficient frontier of utility and CVaR ⋮ Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time ⋮ Subgame-perfect equilibrium strategies for time-inconsistent recursive stochastic control problems ⋮ Robust Framework for Quantifying the Value of Information in Pricing and Hedging ⋮ Utility maximization under risk constraints and incomplete information for a market with a change point ⋮ Quantile portfolio optimization under risk measure constraints ⋮ Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection ⋮ Robust utility maximization with limited downside risk in incomplete markets ⋮ Optimal investment-reinsurance policy with regime switching and value-at-risk constraint ⋮ Optimal investment under dynamic risk constraints and partial information ⋮ Optimal portfolios with regime switching and value-at-risk constraint ⋮ Optimal portfolio policies under bounded expected loss and partial information ⋮ Portfolio optimization under shortfall risk constraint ⋮ Utility Maximization Under Bounded Expected Loss ⋮ A cooperative bargaining framework for decentralized portfolio optimization

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