We analyze optimal investment strategies under the drawdown constraint that the wealth process never falls below a fixed fraction of its running maximum. We derive optimal allocation programs by solving numerically the Hamilton-Jacobi-Bellman equation that characterizes the finite horizon...

This article studies the optimal portfolio selection of expected utility maximizing investors who must also manage their market-risk exposures. The risk is measured by a so-called weighted Value-at-Risk (WVaR) risk measure, which is a generalization of both Value-at-Risk (VaR) and Expected...

This paper describes two algorithms for financial portfolio optimization. These algorithms find optimal portfolios for a number of risk measures: CVaR, MAD, LSAD and dispersion CVaR. The algorithms work for discrete distributions of asset returns where optimization problems can be reduced to...

We extend the Black-Litterman framework beyond normality to general elliptical distributions of investor's views and asset returns and portfolio risk measured by CVaR. Unlike existing solutions, cf. Xiao and Valdez [Quant. Finan. 2015, 15:3, 509-519], the choice of distributions, with the first...

Protecting portfolio against extreme losses is a fundamentally difficult task since past experience provides a poor guidance for the future. This paper focuses on a robust approach to the portfolio insurance, which does not require historical calibration, and therefore avoids the hazards of data...

In this paper, I propose a dynamic programming approach with value function iteration to solve Bellman equations in discrete time using spatially adaptive sparse grids. In doing so, I focus on Bellman equations used in finance, specifically to model dynamic portfolio choice over the life cycle....

Given an investment universe, we consider the vector ρ(w) of correlations of all assets to a portfolio with weights w. This vector offers a representation equivalent to w and leads to the notion of ρ-presentative portfolio, that has a positive correlation, or exposure, to all assets. This...