{"ID":2862654,"CreatedAt":"2026-06-01T04:54:23.091178241Z","UpdatedAt":"2026-06-01T04:54:23.091178241Z","DeletedAt":null,"paper_url":"https://arxiv.org/abs/2509.26009","arxiv_id":"2509.26009","title":"A Martingale approach to continuous Portfolio Optimization under CVaR like constraints","abstract":"We study a continuous-time portfolio optimization problem under an explicit constraint on the Deviation Conditional Value-at-Risk (DCVaR), defined as the difference between the CVaR and the expected terminal wealth. While the mean-CVaR framework has been widely explored, its time-inconsistency complicates the use of dynamic programming. We follow the martingale approach in a complete market setting, as in Gao et al. [4], and extend it by retaining an explicit DCVaR constraint in the problem formulation. The optimal terminal wealth is obtained by solving a convex constrained minimization problem. This leads to a tractable and interpretable characterization of the optimal strategy.","short_abstract":"We study a continuous-time portfolio optimization problem under an explicit constraint on the Deviation Conditional Value-at-Risk (DCVaR), defined as the difference between the CVaR and the expected terminal wealth. While the mean-CVaR framework has been widely explored, its time-inconsistency complicates the use of dy...","url_abs":"https://arxiv.org/abs/2509.26009","url_pdf":"https://arxiv.org/pdf/2509.26009v1","authors":"[\"Jérôme Lelong\",\"Véronique Maume-Deschamps\",\"William Thevenot\"]","published":"2025-09-30T09:40:43Z","proceeding":"math.OC","tasks":"[\"math.OC\",\"math.ST\",\"q-fin.RM\"]","methods":"[]","has_code":false}