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A Convex Stochastic Optimization Problem Arising From Portfolio Selection

Citations

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Cited by:

  1. Ying Hu & Hanqing Jin & Xun Yu Zhou, 2020. "Consistent Investment of Sophisticated Rank-Dependent Utility Agents in Continuous Time," Working Papers hal-02624308, HAL.
  2. Zuo Quan Xu, 2018. "Pareto optimal moral-hazard-free insurance contracts in behavioral finance framework," Papers 1803.02546, arXiv.org, revised Aug 2021.
  3. Ying Hu & Hanqing Jin & Xun Yu Zhou, 2021. "Consistent investment of sophisticated rank‐dependent utility agents in continuous time," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 1056-1095, July.
  4. Jianjun Gao & Ke Zhou & Duan Li & Xiren Cao, 2014. "Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-time," Papers 1402.3464, arXiv.org.
  5. Jacobovic, Royi & Kella, Offer, 2020. "Minimizing a stochastic convex function subject to stochastic constraints and some applications," Stochastic Processes and their Applications, Elsevier, vol. 130(11), pages 7004-7018.
  6. Guo, Wenjing, 2014. "Optimal portfolio choice for an insurer with loss aversion," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 217-222.
  7. Jing Peng & Pengyu Wei & Zuo Quan Xu, 2022. "Relative growth rate optimization under behavioral criterion," Papers 2211.05402, arXiv.org.
  8. Marcos Escobar-Anel & Andreas Lichtenstern & Rudi Zagst, 2020. "Behavioral portfolio insurance strategies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(4), pages 353-399, December.
  9. Fangyuan Zhang, 2023. "Non-concave portfolio optimization with average value-at-risk," Mathematics and Financial Economics, Springer, volume 17, number 3, December.
  10. Guan, Guohui & Liang, Zongxia & Xia, Yi, 2023. "Optimal management of DC pension fund under the relative performance ratio and VaR constraint," European Journal of Operational Research, Elsevier, vol. 305(2), pages 868-886.
  11. Zuo Quan Xu, 2014. "A Note on the Quantile Formulation," Papers 1403.7269, arXiv.org, revised Apr 2014.
  12. Ying Hu & Hanqing Jin & Xun Yu Zhou, 2020. "Consistent Investment of Sophisticated Rank-Dependent Utility Agents in Continuous Time," Papers 2006.01979, arXiv.org.
  13. Zuo Quan Xu, 2014. "Investment under Duality Risk Measure," Papers 1406.4222, arXiv.org.
  14. Hanqing Jin & Xun Yu Zhou, 2008. "Behavioral Portfolio Selection In Continuous Time," Mathematical Finance, Wiley Blackwell, vol. 18(3), pages 385-426, July.
  15. Luciano Campi & Matteo del Vigna, 2011. "Weak Insider Trading and Behavioral Finance," Working Papers hal-00566185, HAL.
  16. Xu, Zuo Quan, 2014. "Investment under duality risk measure," European Journal of Operational Research, Elsevier, vol. 239(3), pages 786-793.
  17. Guohui Guan & Zongxia Liang & Yi xia, 2021. "Optimal management of DC pension fund under relative performance ratio and VaR constraint," Papers 2103.04352, arXiv.org.
  18. Yunhong Li & Zuo Quan Xu & Xun Yu Zhou, 2023. "Robust utility maximization with intractable claims," Papers 2304.06938, arXiv.org, revised Jul 2023.
  19. Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2009. "Optimal reinsurance with general risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 374-384, June.
  20. Rodrick Wallace, 2024. "“Neuroscience†models of institutional conflict under fog, friction, and adversarial intent," The Journal of Defense Modeling and Simulation, , vol. 21(1), pages 75-86, January.
  21. Rodrick Wallace, 2022. "How AI founders on adversarial landscapes of fog and friction," The Journal of Defense Modeling and Simulation, , vol. 19(3), pages 519-538, July.
  22. Bakshi, Gurdip & Madan, Dilip & Panayotov, George, 2010. "Returns of claims on the upside and the viability of U-shaped pricing kernels," Journal of Financial Economics, Elsevier, vol. 97(1), pages 130-154, July.
  23. 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.
  24. Ying Hu & Hanqing Jin & Xun Yu Zhou, 2021. "Consistent Investment of Sophisticated Rank-Dependent Utility Agents in Continuous Time," Post-Print hal-02624308, HAL.
  25. Hongcan Lin & David Saunders & Chengguo Weng, 2019. "Portfolio Optimization With Performance Ratios," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(05), pages 1-38, August.
  26. 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.
  27. Balbás, Alejandro & Balbás, Raquel & Garrido, José, 2010. "Extending pricing rules with general risk functions," European Journal of Operational Research, Elsevier, vol. 201(1), pages 23-33, February.
  28. Yan Li & Baimin Yu, 2012. "Portfolio selection of a closed-end mutual fund," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 75(3), pages 245-272, June.
  29. Rodrick Wallace, 2020. "Cognition, conflict, and doctrine: How groupthink fails on a Clausewitz landscape," The Journal of Defense Modeling and Simulation, , vol. 17(2), pages 137-142, April.
  30. Yunhong Li & Zuo Quan Xu & Xun Yu Zhou, 2023. "Robust utility maximisation with intractable claims," Finance and Stochastics, Springer, vol. 27(4), pages 985-1015, October.
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