Zobrazeno 1 - 10
of 77
pro vyhledávání: '"risk management constraint"'
Autor:
Chiung-Hua Yu, 余瓊嬅
102
In this paper we investigate on asset allocation under risk management constraints like VaR or LEL. Based on the time-T wealth pattern in the research of Basak and Shaprio(2001), we adjust slightly the pattern with terminal price of underlyi
In this paper we investigate on asset allocation under risk management constraints like VaR or LEL. Based on the time-T wealth pattern in the research of Basak and Shaprio(2001), we adjust slightly the pattern with terminal price of underlyi
Externí odkaz:
http://ndltd.ncl.edu.tw/handle/88858931114333973363
Publikováno v:
The Annals of Applied Probability, 2018 Feb 01. 28(1), 482-510.
Externí odkaz:
https://www.jstor.org/stable/26542314
This article studies and solves the problem of optimal portfolio allocation with CV@R constraints when dealing with imperfectly simulated financial assets. We use a Stochastic biased Mirror Descent to find optimal resource allocation for a portfolio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______4074::699528b843e73d1e99602cd837858c30
https://hal.science/hal-03697232
https://hal.science/hal-03697232
Publikováno v:
Annals of Applied Probability
Annals of Applied Probability, 2018, 28 (1), pp.482-510. ⟨10.1214/17-AAP1310⟩
Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2018, 28 (1), pp.482-510. ⟨10.1214/17-AAP1310⟩
The Annals of Applied Probability : an official journal of the institute of mathematical statistics
The Annals of Applied Probability : an official journal of the institute of mathematical statistics, The Institute of Mathematical Statistics, 2018, 28 (1), pp.482-510. 〈10.1214/17-AAP1310〉
Ann. Appl. Probab. 28, no. 1 (2018), 482-510
Annals of Applied Probability, 2018, 28 (1), pp.482-510. ⟨10.1214/17-AAP1310⟩
Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2018, 28 (1), pp.482-510. ⟨10.1214/17-AAP1310⟩
The Annals of Applied Probability : an official journal of the institute of mathematical statistics
The Annals of Applied Probability : an official journal of the institute of mathematical statistics, The Institute of Mathematical Statistics, 2018, 28 (1), pp.482-510. 〈10.1214/17-AAP1310〉
Ann. Appl. Probab. 28, no. 1 (2018), 482-510
International audience; In this paper, we study a new type of BSDE, where the distribution of the Y-component of the solution is required to satisfy an additional constraint, written in terms of the expectation of a loss function. This constraint is
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e45bdc5a7b5f66170da6549409b324bf
This article studies and solves the problem of optimal portfolio allocation with CV@R penalty when dealing with imperfectly simulated financial assets. We use a Stochastic biased Mirror Descent to find optimal resource allocation for a portfolio whos
Externí odkaz:
http://arxiv.org/abs/2402.11999
Autor:
Wei Zhong1 zhongwei@fudan.edu.cn
Publikováno v:
Acta Mathematica Sinica. Jul2009, Vol. 25 Issue 7, p1113-1130. 18p. 1 Graph.
Publikováno v:
SIAM Journal on Control & Optimization; 2024, Vol. 62 Issue 5, p2557-2589, 33p
Autor:
Ding, Rui1 (AUTHOR) rui.ding.1@stonybrook.edu, Uryasev, Stan1 (AUTHOR)
Publikováno v:
Quantitative Finance. Jul2022, Vol. 22 Issue 7, p1265-1276. 12p.
Autor:
Escobar-Anel, Marcos1 (AUTHOR) marcos.escobar@uwo.ca
Publikováno v:
Annals of Operations Research. Aug2022, Vol. 315 Issue 1, p141-157. 17p.
Autor:
Ghossoub, Mario1 (AUTHOR) mario.ghossoub@uwaterloo.ca
Publikováno v:
Scandinavian Actuarial Journal. Apr2020, Vol. 2020 Issue 3, p245-271. 27p.