Open AccessDOI
Portfolio Optimization under the Value-at-Risk Constraint
Georg Ch. Pflug
- pp 35-60
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The article was published on 2008-12-22 and is currently open access. It has received 6 citations till now. The article focuses on the topics: Hybrid algorithm (constraint satisfaction) & Constraint (information theory).read more
Citations
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Journal ArticleDOI
Optimal investment, consumption and retirement decision with disutility and borrowing constraints
Byung Hwa Lim,Yong Hyun Shin +1 more
Abstract: In this paper we consider a general consumption, portfolio and retirement optimization problem in which a working investor has borrowing constraints. Closed-form solutions are obtained for the utility maximization problems, and numerical procedures are given for the general utility function under borrowing constraints. Moreover, we apply the results to the special utility function, the constant relative risk-aversion utility function, and the numerical results suggest that the restriction to borrowing future labor income makes the investor retire at a lower critical wealth level than in the case of no borrowing constraints.
Journal ArticleDOI
Risk Measures and Portfolio Optimization
TL;DR: In this paper, the authors investigate portfolio optimization under Value at Risk, Average value at risk and Limited Expected Loss constraints in a continuous time framework, where stocks follow a geometric Brownian motion.
Journal ArticleDOI
Optimal investment under dynamic risk constraints and partial information
Wolfgang Putschögl,Jörn Sass +1 more
TL;DR: In this article, the authors consider an investor who wants to maximize expected utility of terminal wealth, and they consider a stochastic differential equation with non-constant coefficients and apply a class of risk constraints on the strategy, computed on a short horizon, and then find the optimal policy in this class.
Book
Dynamic risk management with Markov decision processes
TL;DR: The author thank's his supervisor Nicole Bäuerle, colleagues and former colleagues from the Kompetenzzentrum Versicherungswissenschaften GmbH, the Institut für Mathematische Stochastik in Hanover and the Instituts für Stochastsik in Karlsruhe for providing a friendly and enjoyable atmosphere at work and during working breaks and for useful discussions.
Journal ArticleDOI
Crra utility maximization under dynamic risk constraints
TL;DR: In this paper, the problem of optimal investment with CRRA (constant, relative risk aversion) preferences, subject to dynamic risk constraints on trading strategies, is the main focus of the paper.
References
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Journal ArticleDOI
Optimal investment, consumption and retirement decision with disutility and borrowing constraints
Byung Hwa Lim,Yong Hyun Shin +1 more
Abstract: In this paper we consider a general consumption, portfolio and retirement optimization problem in which a working investor has borrowing constraints. Closed-form solutions are obtained for the utility maximization problems, and numerical procedures are given for the general utility function under borrowing constraints. Moreover, we apply the results to the special utility function, the constant relative risk-aversion utility function, and the numerical results suggest that the restriction to borrowing future labor income makes the investor retire at a lower critical wealth level than in the case of no borrowing constraints.
Journal ArticleDOI
Risk Measures and Portfolio Optimization
TL;DR: In this paper, the authors investigate portfolio optimization under Value at Risk, Average value at risk and Limited Expected Loss constraints in a continuous time framework, where stocks follow a geometric Brownian motion.
Journal ArticleDOI
Optimal investment under dynamic risk constraints and partial information
Wolfgang Putschögl,Jörn Sass +1 more
TL;DR: In this article, the authors consider an investor who wants to maximize expected utility of terminal wealth, and they consider a stochastic differential equation with non-constant coefficients and apply a class of risk constraints on the strategy, computed on a short horizon, and then find the optimal policy in this class.
Book
Dynamic risk management with Markov decision processes
TL;DR: The author thank's his supervisor Nicole Bäuerle, colleagues and former colleagues from the Kompetenzzentrum Versicherungswissenschaften GmbH, the Institut für Mathematische Stochastik in Hanover and the Instituts für Stochastsik in Karlsruhe for providing a friendly and enjoyable atmosphere at work and during working breaks and for useful discussions.
Proceedings ArticleDOI
M-CVaR Portfolio Selection Program Under Nonlinear Transacton Costs and Minimum Trading Volumes
TL;DR: A quadratic function is used to approximate origin transaction costs function, set genetic algorithms, and analyse the M-CVaR model by real financial data to show that the portfolio varies with transaction costs and confidence.