-
Previous Article
Computational aspects of the optimal transit path problem
- JIMO Home
- This Issue
-
Next Article
Nonlinear locally distributed feedback stabilization
Optimal portfolios under a value-at-risk constraint with applications to inventory control in supply chains
1. | Department of Applied Mathematics, The Hong Kong Polytechnic University, Kowloon, Hong Kong, China |
2. | Department of Industrial and Manufacturing Systems Engineering, The University of Hong Kong, Pokfulam Road, Hong Kong, China, China |
[1] |
Jingzhen Liu, Lihua Bai, Ka-Fai Cedric Yiu. Optimal investment with a value-at-risk constraint. Journal of Industrial and Management Optimization, 2012, 8 (3) : 531-547. doi: 10.3934/jimo.2012.8.531 |
[2] |
Jiongmin Yong. Time-inconsistent optimal control problems and the equilibrium HJB equation. Mathematical Control and Related Fields, 2012, 2 (3) : 271-329. doi: 10.3934/mcrf.2012.2.271 |
[3] |
Ming Yan, Hongtao Yang, Lei Zhang, Shuhua Zhang. Optimal investment-reinsurance policy with regime switching and value-at-risk constraint. Journal of Industrial and Management Optimization, 2020, 16 (5) : 2195-2211. doi: 10.3934/jimo.2019050 |
[4] |
Helmut Mausser, Oleksandr Romanko. CVaR proxies for minimizing scenario-based Value-at-Risk. Journal of Industrial and Management Optimization, 2014, 10 (4) : 1109-1127. doi: 10.3934/jimo.2014.10.1109 |
[5] |
Haiyang Wang, Zhen Wu. Time-inconsistent optimal control problem with random coefficients and stochastic equilibrium HJB equation. Mathematical Control and Related Fields, 2015, 5 (3) : 651-678. doi: 10.3934/mcrf.2015.5.651 |
[6] |
Vladimir Gaitsgory, Tanya Tarnopolskaya. Threshold value of the penalty parameter in the minimization of $L_1$-penalized conditional value-at-risk. Journal of Industrial and Management Optimization, 2013, 9 (1) : 191-204. doi: 10.3934/jimo.2013.9.191 |
[7] |
Hao-Zhe Tay, Kok-Haur Ng, You-Beng Koh, Kooi-Huat Ng. Model selection based on value-at-risk backtesting approach for GARCH-Type models. Journal of Industrial and Management Optimization, 2020, 16 (4) : 1635-1654. doi: 10.3934/jimo.2019021 |
[8] |
W.C. Ip, H. Wong, Jiazhu Pan, Keke Yuan. Estimating value-at-risk for chinese stock market by switching regime ARCH model. Journal of Industrial and Management Optimization, 2006, 2 (2) : 145-163. doi: 10.3934/jimo.2006.2.145 |
[9] |
Han Zhao, Bangdong Sun, Hui Wang, Shiji Song, Yuli Zhang, Liejun Wang. Optimization and coordination in a service-constrained supply chain with the bidirectional option contract under conditional value-at-risk. Discrete and Continuous Dynamical Systems - S, 2022 doi: 10.3934/dcdss.2022021 |
[10] |
Shou Chen, Chen Xiao. Financial risk contagion and optimal control. Journal of Industrial and Management Optimization, 2022 doi: 10.3934/jimo.2022070 |
[11] |
Meng Xue, Yun Shi, Hailin Sun. Portfolio optimization with relaxation of stochastic second order dominance constraints via conditional value at risk. Journal of Industrial and Management Optimization, 2020, 16 (6) : 2581-2602. doi: 10.3934/jimo.2019071 |
[12] |
Kegui Chen, Xinyu Wang, Min Huang, Wai-Ki Ching. Compensation plan, pricing and production decisions with inventory-dependent salvage value, and asymmetric risk-averse sales agent. Journal of Industrial and Management Optimization, 2018, 14 (4) : 1397-1422. doi: 10.3934/jimo.2018013 |
[13] |
Shuang Li, Chuong Luong, Francisca Angkola, Yonghong Wu. Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion. Journal of Industrial and Management Optimization, 2016, 12 (4) : 1521-1533. doi: 10.3934/jimo.2016.12.1521 |
[14] |
Yanqing Hu, Zaiming Liu, Jinbiao Wu. Optimal impulse control of a mean-reverting inventory with quadratic costs. Journal of Industrial and Management Optimization, 2018, 14 (4) : 1685-1700. doi: 10.3934/jimo.2018027 |
[15] |
Shuren Liu, Qiying Hu, Yifan Xu. Optimal inventory control with fixed ordering cost for selling by internet auctions. Journal of Industrial and Management Optimization, 2012, 8 (1) : 19-40. doi: 10.3934/jimo.2012.8.19 |
[16] |
Xiaoxi Li, Marc Quincampoix, Jérôme Renault. Limit value for optimal control with general means. Discrete and Continuous Dynamical Systems, 2016, 36 (4) : 2113-2132. doi: 10.3934/dcds.2016.36.2113 |
[17] |
Chao Deng, Haixiang Yao, Yan Chen. Optimal investment and risk control problems with delay for an insurer in defaultable market. Journal of Industrial and Management Optimization, 2020, 16 (5) : 2563-2579. doi: 10.3934/jimo.2019070 |
[18] |
Nguyen Huy Chieu, Jen-Chih Yao. Subgradients of the optimal value function in a parametric discrete optimal control problem. Journal of Industrial and Management Optimization, 2010, 6 (2) : 401-410. doi: 10.3934/jimo.2010.6.401 |
[19] |
Yufei Sun, Grace Aw, Kok Lay Teo, Guanglu Zhou. Portfolio optimization using a new probabilistic risk measure. Journal of Industrial and Management Optimization, 2015, 11 (4) : 1275-1283. doi: 10.3934/jimo.2015.11.1275 |
[20] |
Li Xue, Hao Di. Uncertain portfolio selection with mental accounts and background risk. Journal of Industrial and Management Optimization, 2019, 15 (4) : 1809-1830. doi: 10.3934/jimo.2018124 |
2020 Impact Factor: 1.801
Tools
Metrics
Other articles
by authors
[Back to Top]