PORTFOLIO MANAGEMENT WITH CONSTRAINTS

By Phelim P. Boyle, Weidong Tian. 2007

71 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/13fb4d7d23094bf0d3df62c96488d98c63aef80b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Stefan Weber
2. Alexander Schied
3. Hans Föllmer
4. Weidong Tian
5. Carole Bernard
6. Andrzej Ruszczynski
7. Alexander Shapiro
8. Andreas Tsanakas

In Management Science and Operations Research

1. Alexander Schied
2. Stefan Weber
3. Hans Föllmer
4. Weidong Tian
5. Carole Bernard
6. Andrzej Ruszczynski
7. Alexander Shapiro
8. Nicole El Karoui

Citations in the corpus

• Robust Preferences and Robust Portfolio Choice (2009, methodology): “General equilibrium model of portfolio insurance are provided in BRENNAN and SCHWARTZ [1989], BASAK [1995], GROSSMAN and ZHOU [1996], and VANDEN [2006].”
• Optimal Reinsurance Arrangements Under Tail Risk Measures (2009, background): “7 We refer to Basak and Shapiro (2001), Boyle and Tian (2007) , and Leippold, Trojani and Vanini (2006) for”