Cover Image

A Martingale approach to continuous Portfolio Optimization under CVaR like constraints

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Lelong, Jérôme, Maume-Deschamps, Véronique, Thevenot, William
Format:	Preprint
Published:	2025
Subjects:	Optimization and Control Statistics Theory Risk Management
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Sample Average Approximation for Portfolio Optimization under CVaR constraint in an (re)insurance context
by: Lelong, Jérôme, et al.
Published: (2024)

Multi periods mean-DCVaR optimization: a Recursive Neural Network resolution
by: Lelong, Jérôme, et al.
Published: (2026)

Autonomous Sparse Mean-CVaR Portfolio Optimization
by: Lin, Yizun, et al.
Published: (2024)

The Risk Quadrangle in Optimization: An Overview with Recent Results and Extensions
by: Grechuk, Bogdan, et al.
Published: (2026)

Biased Mean Quadrangle and Applications
by: Malandii, Anton, et al.
Published: (2026)

The Boosted Difference of Convex Functions Algorithm for Value-at-Risk Constrained Portfolio Optimization
by: Thormann, Marah-Lisanne, et al.
Published: (2024)

Decomposition Pipeline for Large-Scale Portfolio Optimization with Applications to Near-Term Quantum Computing
by: Acharya, Atithi, et al.
Published: (2024)

Bayesian Optimization for CVaR-based portfolio optimization
by: Millar, Robert, et al.
Published: (2025)

An Asymptotic CVaR Measure of Risk for Markov Chains
by: Patel, Shivam, et al.
Published: (2024)

Community detection by simulated bifurcation
by: Li, Wei, et al.
Published: (2024)

Dynamic reinsurance design with heterogeneous beliefs under the mean-variance framework
by: Guo, Junyi, et al.
Published: (2025)

On Unified Adaptive Black-Litterman Mean-Variance Portfolio Management
by: Li, Chi-Lin, et al.
Published: (2023)

Efficiently Computing the Quasiconcave Envelope with Incomplete Information
by: Wu, Jian, et al.
Published: (2020)

End-to-End Portfolio Optimization with Quantum Annealing
by: Morapakula, Sai Nandan, et al.
Published: (2025)

Optimal dividend and capital injection under self-exciting claims
by: Aubert, Paulin, et al.
Published: (2025)

The Scaling Behaviors in Achieving High Reliability via Chance-Constrained Optimization
by: Deo, Anand, et al.
Published: (2025)

Quantifying the degree of risk aversion of spectral risk measures
by: van Beesten, E. Ruben
Published: (2024)

Optimal Abatement Schedules for Excess Carbon Emissions Towards a Net-Zero Target
by: Albrecher, Hansjoerg, et al.
Published: (2026)

On monotone completion of risk markets: Limit results for incomplete risk markets
by: Khajepour, Iman, et al.
Published: (2025)

Optimal dividends for a NatCat insurer in the presence of a climate tipping point
by: Albrecher, Hansjoerg, et al.
Published: (2025)

Dynamic Factor Models with Forward-Looking Views
by: Abdelhakmi, Anas, et al.
Published: (2025)

Sampler-Robust Optimization under Generative Models
by: Zhang, Ziwei, et al.
Published: (2026)

Deep Learning the Efficient Frontier of Convex Vector Optimization Problems
by: Feinstein, Zachary, et al.
Published: (2022)

Risk-aware stochastic scheduling of multi-market energy storage systems
by: Patrón, Gabriel D., et al.
Published: (2025)

Optimal Risk-Sharing Rules in Network-based Decentralized Insurance
by: Fogarty, Heather N., et al.
Published: (2026)

Singular Control in Inventory Management with Smooth Ambiguity
by: Archankul, Arnon, et al.
Published: (2025)

Optimal Cash Transfers and Microinsurance to Reduce Social Protection Costs
by: Azcue, Pablo, et al.
Published: (2025)

Bounds for Distributionally Robust Optimization Problems
by: Tam, Brandon, et al.
Published: (2025)

Sparse Extended Mean-Variance-CVaR Portfolios with Short-selling
by: Mousavi, Ahmad, et al.
Published: (2024)

Static marginal expected shortfall: Systemic risk measurement under dependence uncertainty
by: Chen, Jinghui, et al.
Published: (2025)

A Laplace-based perspective on conditional mean risk sharing
by: Blier-Wong, Christopher
Published: (2026)

Conditional Risk Minimization with Side Information: A Tractable, Universal Optimal Transport Framework
by: Xie, Xinqiao, et al.
Published: (2025)

Risk-Averse Markov Decision Processes through a Distributional Lens
by: Cheng, Ziteng, et al.
Published: (2022)

Joint Stochastic Optimal Control and Stopping in Aquaculture: Finite-Difference and PINN-Based Approaches
by: Kamm, Kevin
Published: (2025)

Singular Control in a Cash Management Model with Ambiguity
by: Archankul, Arnon, et al.
Published: (2023)

Cyber Risk Assessment for Capital Management
by: Chong, Wing Fung, et al.
Published: (2022)

Joint mixability and notions of negative dependence
by: Koike, Takaaki, et al.
Published: (2022)

Estimation of the Adjusted Standard-deviatile for Extreme Risks
by: Chen, Haoyu, et al.
Published: (2024)

Joint Exclusivity
by: Mohammed, Nawaf
Published: (2026)

Measuring multivariate maximal tail dependence
by: Koike, Takaaki, et al.
Published: (2026)