𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Continuous-time portfolio optimization under terminal wealth constraints

✍ Scribed by Ralf Korn; Siegfried Trautmann

Publisher
Springer
Year
1995
Tongue
English
Weight
762 KB
Volume
42
Category
Article
ISSN
0340-9422

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Optimal portfolios under a value-at-risk
Optimal portfolios under a value-at-risk constraint
✍ K.F.C. Yiu πŸ“‚ Article πŸ“… 2004 πŸ› Elsevier Science 🌐 English βš– 568 KB

This paper looks at the optimal portfolio problem when a value-at-risk constraint is imposed. This provides a way to control risks in the optimal portfolio and to fulΓΏl the requirement of regulators on market risks. The value-at-risk constraint is derived for n risky assets plus a risk-free asset an