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Optimization
A Journal of Mathematical Programming and Operations Research
Volume 65, 2016 - Issue 9
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Articles

Portfolio optimization under shortfall risk constraint

Oliver JankeDepartment of Mathematics, Humboldt-Universität zu Berlin, .Correspondence[email protected]
&
Qinghua LiDepartment of Mathematics, Humboldt-Universität zu Berlin, .
Pages 1733-1755 | Received 26 May 2015, Accepted 26 Mar 2016, Published online: 19 Apr 2016

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Quansheng Gao, Kang Zhou & Junyong Li. (2018) Robust importance sampling for some typical types of utility-based shortfall risk measures using exponential twisting and kernel density techniques. Journal of Statistical Computation and Simulation 88:2, pages 359-375.
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Oliver Janke. (2017) Utility maximization under risk constraints and incomplete information for a market with a change point. Applied Mathematical Finance 24:5, pages 451-484.
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