Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts.
Thai NguyenMitja StadjePublished in: SIAM J. Control. Optim. (2020)
Keyphrases
- risk management
- decision making
- conditional expectation
- risk aversion
- optimal solution
- investment decisions
- chance constraints
- dynamic programming
- risk neutral
- portfolio management
- risk assessment
- worst case
- risk factors
- neural network
- global constraints
- risk averse
- investment strategies
- risk measures
- expected loss
- supply chain
- optimal portfolio
- data mining