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Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control

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  • Zhao, Yonggan
  • Ziemba, William T.

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  • Zhao, Yonggan & Ziemba, William T., 2008. "Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1525-1540, March.
    • Handle: RePEc:eee:ejores:v:185:y:2008:i:3:p:1525-1540
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    7. Yonggan Zhao & Ulrich Haussmann & William T. Ziemba, 2003. "A Dynamic Investment Model with Control on the Portfolio's Worst Case Outcome," Mathematical Finance, Wiley Blackwell, vol. 13(4), pages 481-501, October.
    8. Hua He & Neil D. Pearson, 1991. "Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case1," Mathematical Finance, Wiley Blackwell, vol. 1(3), pages 1-10, July.
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    16. Broadie, Mark & Cvitanic, Jaksa & Soner, H Mete, 1998. "Optimal Replication of Contingent Claims under Portfolio Constraints," The Review of Financial Studies, Society for Financial Studies, vol. 11(1), pages 59-79.
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    Cited by:

    1. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2011. "Optimizing international portfolios with options and forwards," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3188-3201.
    2. Libo Yin & Liyan Han, 2013. "Options strategies for international portfolios with overall risk management via multi-stage stochastic programming," Annals of Operations Research, Springer, vol. 206(1), pages 557-576, July.
    3. Egozcue, Martin & Wong, Wing-Keung, 2010. "Gains from diversification on convex combinations: A majorization and stochastic dominance approach," European Journal of Operational Research, Elsevier, vol. 200(3), pages 893-900, February.
    4. Libo Yin & Liyan Han, 2020. "International Assets Allocation with Risk Management via Multi-Stage Stochastic Programming," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 383-405, February.
    5. Bai, Zhidong & Li, Hua & Wong, Wing-Keung, 2013. "The best estimation for high-dimensional Markowitz mean-variance optimization," MPRA Paper 43862, University Library of Munich, Germany.
    6. Stein Wallace, 2010. "Stochastic programming and the option of doing it differently," Annals of Operations Research, Springer, vol. 177(1), pages 3-8, June.
    7. Abel Cadenillas & Robert Elliott & Hong Miao & Zhenyu Wu, 2009. "Risk-Hedging in Real Estate Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(4), pages 265-285, December.
    8. PInar, Mustafa Ç. & Salih, AslIhan & CamcI, Ahmet, 2010. "Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming," European Journal of Operational Research, Elsevier, vol. 201(3), pages 770-785, March.
    9. Leung, Pui-Lam & Ng, Hon-Yip & Wong, Wing-Keung, 2012. "An improved estimation to make Markowitz’s portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment," European Journal of Operational Research, Elsevier, vol. 222(1), pages 85-95.

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