Add to ORKGAbstract|Replication of a portfolio of market assets under a conditional mean loss criterion is studied. This problem with a risk constraint as the conditional mean loss is studied as a structural extremal problem with binding variables and two groups of constraints. For a large number of assets and continual planning horizons, special methods based on the forward-dual decomposition algorithms are fruitful. Results of numerical experiments are given. 1
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In this paper portfolio problems with linear loss functions and multivariate elliptical distributed ...
This is a survey paper on portfolio optimization problems in continuous time market models. The tool...
This paper deals with a portfolio selection model in which the methodologies of robust optimization ...
We develop a dual-control method for approximating investment strategies in multidimensional financi...
These notes present an overview of the problem of super-replication un-der portfolio constraints. We...
This thesis aims to study the risk measure Conditional Value-at-Risk and analyse an optimization pro...
Maximizing investment utilities and modelling investors’ risk preferences are central problems in va...
This paper develops an approximate method for solving multiperiod utility maximization investment mo...
We use a replica approach to deal with portfolio optimization problems. A given risk measure is mini...
We discuss a class of risk measures for portfolio optimization with linear loss functions, where the...
We apply conjugate duality to establish existence of optimal portfolios in an asset-allocation probl...
This article studies three robust portfolio optimization models under partially known distributions....
We propose a new one-parameter family of risk measures called Conditional Drawdown (CDD). These meas...
There are three ways of measuring the value of a payoff stream in sequential markets with portfolio...
This paper deals with a Portfolio Selection model in which the methodologies of Robust Optimization ...
In this paper portfolio problems with linear loss functions and multivariate elliptical distributed ...
This is a survey paper on portfolio optimization problems in continuous time market models. The tool...
This paper deals with a portfolio selection model in which the methodologies of robust optimization ...