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Optimal Portfolios with Bounded Capital at Risk
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Cited by:
- Gordon J. Alexander & Alexandre M. Baptista, 2004. "A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model," Management Science, INFORMS, vol. 50(9), pages 1261-1273, September.
- Donatien Hainaut, 2009. "Dynamic asset allocation under VaR constraint with stochastic interest rates," Annals of Operations Research, Springer, vol. 172(1), pages 97-117, November.
- Fu, Ke-Ang & Ng, Cheuk Yin Andrew, 2017. "Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 227-235.
- Traian A. Pirvu & Gordan Zitkovic, 2007. "Maximizing the Growth Rate under Risk Constraints," Papers 0706.0480, arXiv.org.
- Tang, Qihe & Wang, Guojing & Yuen, Kam C., 2010. "Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 362-370, April.
- Brokate, M. & Klüppelberg, C. & Kostadinova, R. & Maller, R. & Seydel, R.C., 2008. "On the distribution tail of an integrated risk model: A numerical approach," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 101-106, February.
- Farzad Pourbabaee & Minsuk Kwak & Traian A. Pirvu, 2014. "Risk minimization and portfolio diversification," Papers 1411.6657, arXiv.org, revised Dec 2014.
- D. Vyncke & M. Goovaerts & J. Dhaene & S. Vanduffel, 2005. "Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(1), pages 103-114.
- Kraft, Holger & Steffensen, Mogens, 2012. "A dynamic programming approach to constrained portfolios," CFS Working Paper Series 2012/07, Center for Financial Studies (CFS).
- De Franco, Carmine & Tankov, Peter, 2011.
"Portfolio insurance under a risk-measure constraint,"
Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 361-370.
- Carmine De Franco & Peter Tankov, 2011. "Portfolio Insurance under a risk-measure constraint," Papers 1102.4489, arXiv.org.
- Traian A. Pirvu & Gordan Žitković, 2009. "Maximizing The Growth Rate Under Risk Constraints," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 423-455, July.
- Domenico Cuoco & Hua He & Sergei Isaenko, 2008.
"Optimal Dynamic Trading Strategies with Risk Limits,"
Operations Research, INFORMS, vol. 56(2), pages 358-368, April.
- Domenico Cuoco & Hua He & Sergei Issaenko, 2001. "Optimal Dynamic rading Strategies with Risk Limits," FAME Research Paper Series rp60, International Center for Financial Asset Management and Engineering.
- Domenico Cuoco & Hua He & Sergei Isaenko, 2004. "Optimal Dynamic Trading Strategies with Risk Limits," Yale School of Management Working Papers amz2567, Yale School of Management.
- Priscilla Serwaa Nkyira Gambrah & Traian Adrian Pirvu, 2014. "Risk Measures and Portfolio Optimization," JRFM, MDPI, vol. 7(3), pages 1-17, September.
- Kostadinova, Radostina, 2007. "Optimal investment for insurers when the stock price follows an exponential Lévy process," Insurance: Mathematics and Economics, Elsevier, vol. 41(2), pages 250-263, September.
- Leitner Johannes, 2005. "Optimal portfolios with expected loss constraints and shortfall risk optimal martingale measures," Statistics & Risk Modeling, De Gruyter, vol. 23(1/2005), pages 49-66, January.
- Nicole Bäuerle & André Mundt, 2009. "Dynamic mean-risk optimization in a binomial model," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 70(2), pages 219-239, October.
- Z. F. Li & H. Yang & X. T. Deng, 2007. "Optimal Dynamic Portfolio Selection with Earnings-at-Risk," Journal of Optimization Theory and Applications, Springer, vol. 132(3), pages 459-473, March.
- Thai Nguyen, 2016. "Optimal investment and consumption with downside risk constraint in jump-diffusion models," Papers 1604.05584, arXiv.org.
- Chen, Binbin & Huang, Shih-Feng & Pan, Guangming, 2015. "High dimensional mean–variance optimization through factor analysis," Journal of Multivariate Analysis, Elsevier, vol. 133(C), pages 140-159.
- B'enamar Chouaf & Serguei Pergamenchtchikov, 2010. "Optimal investment with bounded VaR for power utility functions," Papers 1002.3681, arXiv.org, revised Feb 2010.
- Kraft, Holger & Steffensen, Mogens, 2013. "A dynamic programming approach to constrained portfolios," European Journal of Operational Research, Elsevier, vol. 229(2), pages 453-461.
- Fu, Ke-Ang & Ng, Cheuk Yin Andrew, 2014. "Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 80-87.
- Gerrard, Russell & Hiabu, Munir & Kyriakou, Ioannis & Nielsen, Jens Perch, 2019. "Communication and personal selection of pension saver’s financial risk," European Journal of Operational Research, Elsevier, vol. 274(3), pages 1102-1111.
- Li, Zhongfei & Yao, Jing & Li, Duan, 2010. "Behavior patterns of investment strategies under Roy's safety-first principle," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(2), pages 167-179, May.
- Claudia Kluppelberg & Serguei Pergamenchtchikov, 2010. "Optimal consumption and investment with bounded downside risk for power utility functions," Papers 1002.2487, arXiv.org.
- Farzad Pourbabaee & Minsuk Kwak & Traian A. Pirvu, 2016. "Risk minimization and portfolio diversification," Quantitative Finance, Taylor & Francis Journals, vol. 16(9), pages 1325-1332, September.
- Santiago Moreno-Bromberg & Traian Pirvu & Anthony R'eveillac, 2011. "CRRA Utility Maximization under Risk Constraints," Papers 1106.1702, arXiv.org, revised Mar 2012.
- Raphaël H. Boroumand & Stéphane Goutte & Ehud I. Ronn, 2020. "Characterizing the hedging policies of commodity price‐sensitive corporations," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(8), pages 1264-1281, August.
- Cuoco, Domenico & Liu, Hong, 2006. "An analysis of VaR-based capital requirements," Journal of Financial Intermediation, Elsevier, vol. 15(3), pages 362-394, July.
- Klüppelberg, Claudia & Kostadinova, Radostina, 2008. "Integrated insurance risk models with exponential Lévy investment," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 560-577, April.
- Hałaj, Grzegorz, 2006. "Risk-based decisions on assets structure of a bank — partially observed economic conditions," MPRA Paper 523, University Library of Munich, Germany.
- Bai, Zhidong & Liu, Huixia & Wong, Wing-Keung, 2016. "Making Markowitz's Portfolio Optimization Theory Practically Useful," MPRA Paper 74360, University Library of Munich, Germany.
- Li, Ping & Zhao, Wu & Zhou, Wei, 2015. "Ruin probabilities and optimal investment when the stock price follows an exponential Lévy process," Applied Mathematics and Computation, Elsevier, vol. 259(C), pages 1030-1045.
- Claudia Kluppelberg & Serguei Pergamenchtchikov, 2010. "Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions," Papers 1002.2486, arXiv.org.
- Sangwon Lee & Suneung Ahn & Changsoon Park & You-Jin Park, 2016. "Development of a Resource Allocation Model Using Competitive Advantage," Sustainability, MDPI, vol. 8(3), pages 1-13, February.