Portfolio optimization under dynamic risk constraints: Continuous vs. discrete time trading
Year of publication: |
2018
|
---|---|
Authors: | Redeker, Imke ; Wunderlich, Ralf |
Published in: |
Statistics & Risk Modeling. - De Gruyter, ISSN 2196-7040, ZDB-ID 2630803-4. - Vol. 35.2018, 1-2, p. 1-21
|
Publisher: |
De Gruyter |
Subject: | Consumption-investment problem | stochastic optimal control | dynamic risk measure | Markov decision problem | discrete-time approximation |
-
Time discretization and quantization methods for optimal multiple switching problem
Gassiat, Paul, (2012)
-
Consumption-investment problem with transaction costs for Lévy-driven price processes
Vallière, Dimitri De, (2016)
-
Consumption-investment strategies with non-exponential discounting and logarithmic utility
Zhao, Qian, (2014)
- More ...
-
Stochastic models in financial risk management
Redeker, Imke, (2019)
-
Optimal portfolios under bounded shortfall risk and partial information
Wunderlich, Ralf, (2007)
-
Optimal portfolio policies under bounded expected loss and partial information
Sass, Jörn, (2010)
- More ...