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Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection
16 references·1 citing·29 second hop
Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection (2019)Time-consistent and self-coordination str…MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)MEAN–VARIANCE PORTFOLIO OPTIM…Dynamic Mean-Variance Asset Allocation (2010)Dynamic Mean-Variance Asset A…Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management (2009)Worst-Case Conditional Value-…Lectures on Stochastic Programming: Modeling and Theory (2009)Lectures on Stochastic Progra…Coherent multiperiod risk adjusted values and Bellman’s principle (2006)Coherent multiperiod risk adj…A Dual-Self Model of Impulse Control (2006)A Dual-Self Model of Impulse …Self-Control and the Theory of Consumption (2003)Self-Control and the Theory o…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Temptation and Self-Control (2001)Temptation and Self-ControlCredit risk optimization with Conditional Value-at-Risk criterion (2001)Credit risk optimization with…Choice and Procrastination (2001)Choice and ProcrastinationOptimization of conditional value-at-risk (2000)Optimization of conditional v…Doing It Now or Later (1999)Doing It Now or LaterCoherent Measures of Risk (1999)Coherent Measures of RiskMyopia and Inconsistency in Dynamic Utility Maximization (1973)Myopia and Inconsistency in D…Myopia and Inconsistency in Dynamic Utility Maximization (1955)Myopia and Inconsistency in D…Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent? (2020)Multiperiod Mean Conditional …A Stochastic Approximation Method (1951)Analysis of stochastic dual dynamic programming method (2010)Data-driven chance constrained stochastic program (2015)Theory of games and economic behavior (2019)Frameworks and Results in Distributionally Robust Optimization (2022)Toward a positive theory of consumer choice (1980)A Theory of Rational Addiction (1988)Anomalies: The Endowment Effect, Loss Aversion, and Status Quo Bias (1991)Discrete Choice Methods with Simulation (2001)A Model of Reference-Dependent Preferences (2006)Golden Eggs and Hyperbolic Discounting (1997)Present-Biased Preferences and Credit Card Borrowing (2009)Savings Constraints and Microenterprise Development: Evidence from a Field Experiment in Kenya (2013)Time Discounting and Time Preference: A Critical Review (2002)Addiction and Cue-Triggered Decision Processes (2004)Spontaneous giving and calculated greed (2012)PORTFOLIO SELECTION* (1952)On the coherence of expected shortfall (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Making and Evaluating Point Forecasts (2011)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)The Framing of Decisions and the Psychology of Choice (1981)Psychological foundations of incentives (2002)Cultural group selection, coevolutionary processes and large-scale cooperation (2003)Information Privacy Research: an Interdisciplinary Review1 (2011)11. Reasons and Persons (1986)
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References

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  • 2002Conditional value-at-risk for general loss distributions3,847 cited
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  • 1955Myopia and Inconsistency in Dynamic Utility Maximization2,834 cited
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  • 2001Temptation and Self-Control1,207 cited
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  • 2010Dynamic Mean-Variance Asset Allocation593 cited
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  • 2001Credit risk optimization with Conditional Value-at-Risk criterion

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295 cited

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  • 2020Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent?25 cited