Optimal Portfolios with Bounded Capital at Risk

By Susanne Emmer, Claudia Klüppelberg, Ralf Korn. 2001

132 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/1872b78c34422c7c3e9098b9aedc3b079747da13

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Citations in the corpus

ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY (2009, background): “Another direction for further research is to adopt the continuous-time multiperiod Markowitz’s problem (see, e.g., Li and Ng 2000; Emmer, Klüppelberg, and Korn 2001; Xia and Yan 2006).”
A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model (2004, background): “Emmer et al. (2001) investigate a continuous-time model of expected terminal wealth maximization subject to a capital-at-risk constraint also in the presence of a risk-free security.”
Portfolio optimization with conditional value-at-risk objective and constraints (2001, methodology): “Also, Gaivoronski and Pflug (2000) have found that in some cases optimization of VaR and CVaR may lead to quite different portfolios. Rockafellar and Uryasev (2000) demonstrated that linear programming techniques can be used for optimization of the Conditional Value-at-Risk (CVaR) risk measure. A si”
ALGORITHMS FOR OPTIMIZATION OF VALUE AT-RISK* (2002, background): “Therefore, in spite of significant research efforts [4, 6, 12 , 15, 16, 17, 20, 30, 32], efficient algorithms for optimization of VaR for reasonable dimensions (over one hundred instruments and one thousand scenarios) are still not available.”
Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims (2009, background): “…the so-called constant mix strategy to invest their reserve, namely, at each instant of time an initially fixed fraction θ ∈ [0, 1] of the wealth is invested in the risky asset and a fraction 1− θ is invested in the riskless asset; see, e.g. Emmer et al. (2001) and Emmer and Klüppelberg (2004).”
An Analysis of VaR-based Capital Requirements (2006, unknown): “Sentana (2001), Emmer et al. (2001), Vorst (2001), Basak and Shapiro (2001) and Cuoco et al. (2002) considered the investment problem of a trader subject to an exogenous limit on the VaR of the trading portfolio.”
Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model (2010, methodology): “This constant investment strategy is commonly used in mathematical finance and actuarial science; see, for example, Emmer et al. (2001), Björk (1998), Emmer and Klüppelberg (2004), Kostadinova (2007), and Klüppelberg and Kostadinova (2008).”
Integrated insurance risk models with exponential Lévy investment (2008, methodology): “For allocation of the reser.v.e among the riskless and the risky asset we use the so-called constant mix strategy; i.e. the initial proportions which are invested into bond and stock remain constant over a predetermined planning horizon; see e.g. Emmer, Klüppelberg and Korn [5], Section 2.”
From light tails to heavy tails through multiplier (2008, methodology): “This constant portfolio is commonly used in mathematical finance; see, for example, Emmer et al. (2001), Klüppelberg and Kostadinova (2008), and references therein.”
Comonotonic Approximations for Optimal Portfolio Selection Problems (2005, background): “As we have that Var [S] = Var £ S ¤ +E [Var [S | Λ]] , (21) it seems reasonable to choose the coefficients βj in (17) such that the variance of S is maximized.”