Image de couverture de livre

Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model

Fuente: arXiv

Enregistré dans:

Détails bibliographiques
Auteurs principaux:	Escobar-Anel, Marcos, Havrylenko, Yevhen, Zagst, Rudi
Format:	Preprint
Publié:	2022
Sujets:	Portfolio Management Optimization and Control 91G10 (Primary), 49L20 (Secondary), 90C39 (Secondary)
Accès en ligne:	Acceder al recurso
Tags:	Ajouter un tag Pas de tags, Soyez le premier à ajouter un tag!

Documents similaires

Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer
par: Havrylenko, Yevhen, et autres
Publié: (2022)

Decrease of capital guarantees in life insurance products: can reinsurance stop it?
par: Escobar-Anel, Marcos, et autres
Publié: (2021)

Framework for asset-liability management with fixed-term securities
par: Havrylenko, Yevhen
Publié: (2025)

Time-consistent portfolio selection with monotone mean-variance preferences
par: Wang, Yike, et autres
Publié: (2025)

Risk-Constrained Kelly for Mutually Exclusive Outcomes: CRRA Support Invariance and Logarithmic One-Dimensional Calibration
par: Long, Christopher D.
Publié: (2026)

Optimal Parlay Wagering and Whitrow Asymptotics: A State-Price and Implicit-Cash Treatment
par: Long, Christopher D.
Publié: (2026)

Single-Event Multinomial Full Kelly via Implicit State Positions
par: Long, Christopher D.
Publié: (2026)

Variable annuities: A closer look at ratchet guarantees, hybrid contract designs, and taxation
par: Alonso-Garcia, Jennifer, et autres
Publié: (2025)

Geometric insights into robust portfolio construction
par: Dalmeyer, Lara, et autres
Publié: (2021)

On optimal tracking portfolio in incomplete markets: The reinforcement learning approach
par: Bo, Lijun, et autres
Publié: (2023)

Dynamically optimal portfolios for monotone mean--variance preferences
par: Černý, Aleš, et autres
Publié: (2025)

MAD Risk Parity Portfolios
par: Ararat, Çağın, et autres
Publié: (2021)

Portfolio optimization in incomplete markets and price constraints determined by maximum entropy in the mean
par: Arratia, Argimiro, et autres
Publié: (2025)

$α$-robust utility maximization with intractable claims: A quantile optimization approach
par: Chen, Xinyu, et autres
Publié: (2026)

Portfolio optimisation: bridging the gap between theory and practice
par: Valle, Cristiano Arbex
Publié: (2024)

Robo-Advising in Motion: A Model Predictive Control Approach
par: Bielecki, Tomasz R., et autres
Publié: (2026)

Rethinking Portfolio Risk: Forecasting Volatility Through Cointegrated Asset Dynamics
par: Casto, Gabriele
Publié: (2025)

Goal-based portfolio selection with fixed transaction costs
par: Bayraktar, Erhan, et autres
Publié: (2025)

Periodic portfolio selection with quasi-hyperbolic discounting
par: Hamaguchi, Yushi, et autres
Publié: (2024)

Utility-Invariant Support Selection and Eventwise Decoupling for Simultaneous Independent Multi-Outcome Bets
par: Long, Christopher D.
Publié: (2026)

Bayesian Filtering for Multi-period Mean-Variance Portfolio Selection
par: Sikaria, Shubhangi, et autres
Publié: (2019)

Closed-loop strong equilibria for time-inconsistent control problems with higher-order moments
par: Wang, Yike
Publié: (2025)

Equilibrium strategies for stochastic control problems with higher-order moments and applications to portfolio selection
par: Wang, Yike, et autres
Publié: (2025)

Risk management in multi-objective portfolio optimization under uncertainty
par: Becker, Yannick, et autres
Publié: (2024)

Optimal annuitization with labor income under age-dependent force of mortality
par: Birungi, Criscent, et autres
Publié: (2025)

Markov Decision Processes with Recursive Risk Measures
par: Bäuerle, Nicole, et autres
Publié: (2020)

Strictly monotone mean-variance preferences with applications to portfolio selection
par: Wang, Yike, et autres
Publié: (2024)

A Distributed Method for Cooperative Transaction Cost Mitigation
par: Devanathan, Nikhil, et autres
Publié: (2026)

Optimal retirement in presence of stochastic labor income: a free boundary approach in an incomplete market
par: Marazzina, Daniele
Publié: (2024)

Minimizing Spectral Risk Measures Applied to Markov Decision Processes
par: Bäuerle, Nicole, et autres
Publié: (2020)

Optimal two-parameter portfolio management strategy with transaction costs
par: Ma, Chutian, et autres
Publié: (2024)

Single-Asset Adaptive Leveraged Volatility Control
par: Devanathan, Nikhil, et autres
Publié: (2026)

Robust Optimal Investment and Reinsurance Problems with Learning
par: Bäuerle, Nicole, et autres
Publié: (2020)

Distributionally Robust Markov Decision Processes and their Connection to Risk Measures
par: Bäuerle, Nicole, et autres
Publié: (2020)

Optimal portfolio under ratio-type periodic evaluation in incomplete markets with stochastic factors
par: Wang, Wenyuan, et autres
Publié: (2024)

Some general results on risk budgeting portfolios
par: Fassino, Claudia, et autres
Publié: (2026)

Time consistent portfolio strategies for a general utility function
par: Mbodji, Oumar
Publié: (2026)

Numeraire-invariant quadratic hedging and mean--variance portfolio allocation
par: Černý, Aleš, et autres
Publié: (2021)

The law of one price in quadratic hedging and mean-variance portfolio selection
par: Černý, Aleš, et autres
Publié: (2022)

Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment
par: Garces, Len Patrick Dominic M., et autres
Publié: (2024)