Optimal Dynamic Portfolio Selection with Earnings-at-Risk
β Scribed by Z. F. Li; H. Yang; X. T. Deng
- Publisher
- Springer
- Year
- 2007
- Tongue
- English
- Weight
- 378 KB
- Volume
- 132
- Category
- Article
- ISSN
- 0022-3239
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π SIMILAR VOLUMES
We consider the optimal portfolio selection problem subject to a maximum value-at-Risk (MVaR) constraint when the price dynamics of the risky asset are governed by a Markov-modulated geometric Brownian motion (GBM). Here, the market parameters including the market interest rate of a bank account, th
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
## Abstract The issue of estimation risk is of particular interest to the decisionβmaking processes of portfolio managers who use longβshort investment strategies. Accordingly, our paper explores the question of whether a VaR constraint reduces estimation risk when short sales are allowed. We find