Discrete-Time Mean-CVaR Portfolio Selection and Time-Consistency Induced Term Structure of the CVaR


We investigate a discrete-time mean-CVaR portfolio selection problem by embedding this time-inconsistent problem into a family of expected utility maximization problems with piecewise-linear utility functions. In contrast to... [ view full abstract ]


  1. Moris Strub (The Chinese University of Hong Kong)
  2. Duan Li (CityU HK)
  3. Xiangyu Cui (Shanghai University of Finance and Economics)
  4. Jianjun Gao (Shanghai University of Finance and Economics)

Topic Areas

Incompleteness , Risk Management , Trading Strategies


WE-A-B1 » Measuring Risk: Unilateral and Central Exposures (11:30 - Wednesday, 18th July, Beckett 1)

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