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Portfolio optimization under the Value-at-Risk constraint
15 references·0 citing·35 second hop
Portfolio optimization under the Value-at-Risk constraint (2007)Portfolio optimization under the Value-at…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Optimal Dynamic Trading Strategies with Risk Limits (2007)Optimal Dynamic Trading Strat…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Optimal portfolios under a value-at-risk constraint (2003)Optimal portfolios under a va…Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Value-at-Risk-Based Risk Mana…Value at Risk (2001)Value at RiskOptimal Portfolios with Bounded Capital at Risk (2001)Optimal Portfolios with Bound…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Brownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochasti…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Hedging Contingent Claims with Constrained Portfolios (1993)Hedging Contingent Claims wit…Convex Duality in Constrained Portfolio Optimization (1992)Convex Duality in Constrained…Optimization - Theory and applications: Problems with ordinary differential equations (1984)Optimization - Theory and app…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Who Should Buy Long-Term Bonds? (2001)Utility maximization in incomplete markets (2005)A Guided Tour through Quadratic Hedging Approaches (2010)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)The Pricing of Options and Corporate Liabilities (1973)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Tails, Fears, and Risk Premia (2011)Asset Prices in an Exchange Economy (1978)Coherent Measures of Risk (1999)Testing Density Forecasts, With Applications to Risk Management (2001)How Accurate Are Value‐at‐Risk Models at Commercial Banks? (2002)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)Theory of Rational Option Pricing (1973)Martingales and arbitrage in multiperiod securities markets (1979)Arbitrage Theory in Continuous Time (1998)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Measuring systemic risk: A risk management approach (2005)Supply chain risk management and performance (2007)Does Option Compensation Increase Managerial Risk Appetite? (2000)Range‐Based Estimation of Stochastic Volatility Models (2002)
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1998Brownian Motion and Stochastic Calculus2,043 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 2001Value at Risk846 cited
  • 2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices834 cited
  • 1992Convex Duality in Constrained Portfolio Optimization628 cited
  • 1993Hedging Contingent Claims with Constrained Portfolios250 cited
  • 1984Optimization - Theory and applications: Problems with ordinary differential equations188 cited
  • 2007Optimal Dynamic Trading Strategies with Risk Limits154 cited
  • 2003Optimal portfolios under a value-at-risk constraint122 cited
  • 2001Optimal Portfolios with Bounded Capital at Risk119 cited

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