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Stochastic Models Volume 25, 2009 - Issue 3
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Original Articles

Utility Maximization Under Bounded Expected Loss

Abdelali Gabih Université Cadi Ayyad, ENSA, Marrakech, Maroc
,
Jörn Sass Department of Mathematics, University of Kaiserslautern, Kaiserslautern, Germany
&
Ralf Wunderlich Mathematics Group, Zwickau University of Applied Sciences, Zwickau, GermanyCorrespondence[email protected]
Pages 375-407 | Received 01 Jul 2007, Accepted 01 Mar 2009, Published online: 22 Jul 2009

Citations (18)

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Read on this site (3)

Daniel R. Clark, Matthias A. Tietz & Maya Kumar. (2023) Getting to the one: Prioritizing an idea set using preference-based decision-specific heuristics. Journal of Small Business Management 61:5, pages 2261-2301.
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Oliver Janke & Qinghua Li. (2016) Portfolio optimization under shortfall risk constraint. Optimization 65:9, pages 1733-1755.
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Wolfgang Putschögl & Jörn Sass. (2011) Optimal investment under dynamic risk constraints and partial information. Quantitative Finance 11:10, pages 1547-1564.
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Articles from other publishers (15)

Tak Wa Ng & Thai Nguyen. (2023) Portfolio performance under benchmarking relative loss and portfolio insurance: From omega ratio to loss aversion. ASTIN Bulletin, pages 1-35.
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Mario Ghossoub & Michael B. Zhu. (2023) Risk-Constrained Portfolio Choice under Rank-Dependent Utility. SSRN Electronic Journal.
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Carole Bernard & Xuecan Cui. (2022) Impact of systemic risk regulation on optimal policies and asset prices. Journal of Banking & Finance, pages 106621.
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Pengyu Wei. (2021) Risk management with expected shortfall. Mathematics and Financial Economics 15:4, pages 847-883.
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An Chen, Thai Nguyen & Manuel Rach. (2021) Optimal collective investment: The impact of sharing rules, management fees and guarantees. Journal of Banking & Finance 123, pages 106012.
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Pengyu Wei. (2018) Risk management with weighted VaR. Mathematical Finance 28:4, pages 1020-1060.
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An Chen, Thai Nguyen & Mitja Stadje. (2018) Optimal investment under VaR-Regulation and Minimum Insurance. Insurance: Mathematics and Economics 79, pages 194-209.
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Imke Redeker & Ralf Wunderlich. (2018) Portfolio optimization under dynamic risk constraints: Continuous vs. discrete time trading. Statistics & Risk Modeling 35:1-2, pages 1-21.
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Catherine Donnelly, Montserrat Guillen, Jens Perch Nielsen & Ana Maria Pérez-Marín. (2017) IMPLEMENTING INDIVIDUAL SAVINGS DECISIONS FOR RETIREMENT WITH BOUNDS ON WEALTH. ASTIN Bulletin 48:1, pages 111-137.
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Jianjun Gao, Ke Zhou, Duan Li & Xiren Cao. (2017) Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time. SIAM Journal on Control and Optimization 55:3, pages 1377-1397.
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Catherine Donnelly, Russell Gerrard, Montserrat Guillén & Jens Perch Nielsen. (2015) Less is more: Increasing retirement gains by using an upside terminal wealth constraint. Insurance: Mathematics and Economics 64, pages 259-267.
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Jörn Sass & Ralf Wunderlich. (2010) Optimal portfolio policies under bounded expected loss and partial information. Mathematical Methods of Operations Research 72:1, pages 25-61.
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Carole Bernard & Xuecan Cui. (2022) Impact of Systemic Risk Regulation on Optimal Policies and Asset Prices. SSRN Electronic Journal.
Crossref
An Chen, Thai Nguyen & Manuel Rach. (2018) Optimal Collective Investment: How Costly are Guarantees?. SSRN Electronic Journal.
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Pengyu Wei. (2017) Risk Management with Weighted VaR. SSRN Electronic Journal.
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