---
title: Dynamic Portfolio Choice with Risk Control
url: https://www.ml-quant.com/papers/repec/eee-ejores-v-322-y-2025-i-1-p-325-340/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:eee:ejores:v:322:y:2025:i:1:p:325-340
source_url: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.sciencedirect.com%2Fscience%2Farticle%2Fpii%2FS0377221724008464%3Bh%3Drepec%3Aeee%3Aejores%3Av%3A322%3Ay%3A2025%3Ai%3A1%3Ap%3A325-340
featured: 2025-01-23
citations: unknown
topic: Portfolio & Allocation
---


# Dynamic Portfolio Choice with Risk Control

In a complete market, using Value-at-Risk (VaR) increases losses while Expected Shortfall (ES) reduces losses during market downturns.

- Source: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.sciencedirect.com%2Fscience%2Farticle%2Fpii%2FS0377221724008464%3Bh%3Drepec%3Aeee%3Aejores%3Av%3A322%3Ay%3A2025%3Ai%3A1%3Ap%3A325-340
- Identifier: RePEc:eee:ejores:v:322:y:2025:i:1:p:325-340
- Released: 2025-01-23
- First featured: Quant Letter No. 83 (2025-01-23): https://www.ml-quant.com/issues/2025-01-23/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Portfolio & Allocation

## Related

- [Quantifying Credit Portfolio sensitivity to asset correlations with interpretable generative neural networks](https://www.ml-quant.com/papers/arxiv/2309.08652/): A unique method using Variational Autoencoders has been suggested to measure credit portfolio Value-at-Risk sensitivity to asset correlations, providing a clearer latent space representation.
- [Value-at-Risk-Based Portfolio Insurance: Performance Evaluation and Benchmarking Against CPPI in a Markov-Modulated Regime-Switching Market](https://www.ml-quant.com/papers/arxiv/2305.12539/): Study compares VaR-based and constant proportion portfolio insurance strategies in regime-switching framework.
- [Credit risk for large portfolios of green and brown loans: Extending the ASRF model](https://www.ml-quant.com/papers/arxiv/2506.12510/): The study presents a credit risk model for portfolios of green and brown loans, expanding the ASRF framework and demonstrating how value-at-risk is influenced by various factors, providing a foundation for future credit risk modeling advancements.
- [Comparative Study of Portfolio Risk Management](https://www.ml-quant.com/papers/ssrn/4779957/): The article suggests a new method for portfolio risk management and capital allocation, combining value-at-risk with other statistical measures, proving its effectiveness in reducing potential portfolio losses.
- [Global US Stock Integration](https://www.ml-quant.com/papers/ssrn/4781466/): The research finds that US stocks with less global integration can improve portfolio diversification and match international index portfolios in risk-adjusted returns and tail risk.
- [Tail Risk-Managed Portfolio Strategies](https://www.ml-quant.com/papers/ssrn/4463810/): It develops real-time Tail Risk-Managed portfolios that minimize tail risks and enhance risk-return profiles compared to standard strategies.