Author

Silvana M. Pesenti

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Preprint Aug 2026

Dynamic Portfolio Optimization under CVaR Constraints

This work exploits the auxiliary-threshold representation of CVaR to establish the existence of an optimal strategy and strong duality without requiring market completeness, and proves that the resulting strategies converge to the optimal control as the number of iterations tends to infinity.

Anran Hu, Silvana M. Pesenti, Xiaofei Shi · 0 citations