Related papers: Time consistency of the mean-risk problem
We study a discrete-time portfolio selection problem with partial information and maxi\-mum drawdown constraint. Drift uncertainty in the multidimensional framework is modeled by a prior probability distribution. In this Bayesian framework,…
Multi-period mean-variance optimization is a long-standing problem, caused by the failure of dynamic programming principle. This paper studies the mean-variance optimization in a setting of finite-horizon discrete-time Markov decision…
This paper addresses the importance of incorporating various risk measures in portfolio management and proposes a dynamic hybrid portfolio optimization model that combines the spectral risk measure and the Value-at-Risk in the mean-variance…
This paper concerns a continuous time mean-variance (MV) portfolio selection problem in a jump-diffusion financial model with no-shorting trading constraint. The problem is reduced to two subproblems: solving a stochastic linear-quadratic…
The entropic value-at-risk (EVaR) is a new coherent risk measure, which is an upper bound for both the value-at-risk (VaR) and conditional value-at-risk (CVaR). As important properties, the EVaR is strongly monotone over its domain and…
Empirical studies indicate the presence of multi-scales in the volatility of underlying assets: a fast-scale on the order of days and a slow-scale on the order of months. In our previous works, we have studied the portfolio optimization…
We study Spectral Measures of Risk from the perspective of portfolio optimization. We derive exact results which extend to general Spectral Measures M_phi the Pflug--Rockafellar--Uryasev methodology for the minimization of alpha--Expected…
This paper studies a dynamic optimal reinsurance and dividend-payout problem for an insurance company in a finite time horizon. The goal of the company is to maximize the expected cumulative discounted dividend payouts until bankruptcy or…
We propose an alternative linearization to the classical Markowitz quadratic portfolio optimization model, based on maximum drawdown. This model, which minimizes maximum portfolio drawdown, is particularly appealing during times of…
In this article, we address a class of non convex, integer, non linear mathematical programs using dynamic programming. The mathematical program considered, whose properties are studied in this article, may be used to model the optimal…
In this paper we consider a broad class of infinite horizon discrete-time optimal control models that involve a nonnegative cost function and an affine mapping in their dynamic programming equation. They include as special cases classical…
In portfolio optimization, decision makers face difficulties from uncertainties inherent in real-world scenarios. These uncertainties significantly influence portfolio outcomes in both classical and multi-objective Markowitz models. To…
This paper provides new conditions for dynamic optimality in discrete time and uses them to establish fundamental dynamic programming results for several commonly used recursive preference specifications. These include Epstein-Zin…
We study the problem of portfolio insurance from the point of view of a fund manager, who guarantees to the investor that the portfolio value at maturity will be above a fixed threshold. If, at maturity, the portfolio value is below the…
We consider continuous-time mean-variance portfolio selection with bankruptcy prohibition under convex cone portfolio constraints. This is a long-standing and difficult problem not only because of its theoretical significance, but also for…
In this study, we address the challenge of portfolio optimization, a critical aspect of managing investment risks and maximizing returns. The mean-CVaR portfolio is considered a promising method due to today's unstable financial market…
The conventional wisdom of mean-variance (MV) portfolio theory asserts that the nature of the relationship between risk and diversification is a decreasing asymptotic function, with the asymptote approximating the level of portfolio…
We examine the problem of dynamic reserving for risk in multiple currencies under a general coherent risk measure. The reserver requires to hedge risk in a time-consistent manner by trading in baskets of currencies. We show that reserving…
In this paper we propose a problem-driven scenario generation approach to the single-period portfolio selection problem which use tail risk measures such as conditional value-at-risk. Tail risk measures are useful for quantifying potential…
Risk management in dynamic decision problems is a primary concern in many fields, including financial investment, autonomous driving, and healthcare. The mean-variance function is one of the most widely used objective functions in risk…