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Optimal investment with a value-at-risk constraint

✍ Scribed by Liu, Jingzhen; Bai, Lihua; Yiu, Ka-Fai Cedric

Book ID
120047549
Publisher
American Institute of Mathematical Sciences
Year
2012
Tongue
English
Weight
433 KB
Volume
8
Category
Article
ISSN
1547-5816

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πŸ“œ SIMILAR VOLUMES

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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

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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