Risk management with weighted VaR
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DOI: 10.1111/mafi.12160
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Citations
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Cited by:
- Tongyao Wang & Qitong Pan & Weiping Wu & Jianjun Gao & Ke Zhou, 2024. "Dynamic Mean–Variance Portfolio Optimization with Value-at-Risk Constraint in Continuous Time," Mathematics, MDPI, vol. 12(14), pages 1-17, July.
- Jing Peng & Pengyu Wei & Zuo Quan Xu, 2022. "Relative growth rate optimization under behavioral criterion," Papers 2211.05402, arXiv.org.
- Fangyuan Zhang, 2023. "Non-concave portfolio optimization with average value-at-risk," Mathematics and Financial Economics, Springer, volume 17, number 3, March.
- Huang, Zhenzhen & Wei, Pengyu & Weng, Chengguo, 2024. "Tail mean-variance portfolio selection with estimation risk," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 218-234.
- Zuo Quan Xu, 2021. "Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory," Papers 2108.06940, arXiv.org, revised Aug 2022.
- Jianming Xia, 2021. "Optimal Investment with Risk Controlled by Weighted Entropic Risk Measures," Papers 2112.02284, arXiv.org.
- Jianming Xia, 2023. "Benchmark Beating with the Increasing Convex Order," Papers 2311.01692, arXiv.org.
- Bernard, Carole & Cui, Xuecan, 2023. "Impact of systemic risk regulation on optimal policies and asset prices," Journal of Banking & Finance, Elsevier, vol. 154(C).
- An Chen & Mitja Stadje & Fangyuan Zhang, 2020. "On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization," Papers 2002.02229, arXiv.org, revised Jun 2022.
- Pengyu Wei & Zuo Quan Xu, 2021. "Dynamic growth-optimum portfolio choice under risk control," Papers 2112.14451, arXiv.org.
- Hui Mi & Zuo Quan Xu & Dongfang Yang, 2023. "Optimal Management of DC Pension Plan with Inflation Risk and Tail VaR Constraint," Papers 2309.01936, arXiv.org.
- Bi, Xiuchun & Cui, Zhenyu & Fan, Jiacheng & Yuan, Lvning & Zhang, Shuguang, 2023. "Optimal investment problem under behavioral setting: A Lagrange duality perspective," Journal of Economic Dynamics and Control, Elsevier, vol. 156(C).
- Zongxia Liang & Yang Liu & Litian Zhang, 2021. "A Framework of State-dependent Utility Optimization with General Benchmarks," Papers 2101.06675, arXiv.org, revised Dec 2023.
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