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
✦ LIBER ✦
Optimal portfolio policies with borrowing and shortsale constraints
✍ Scribed by Lucie Teplá
- Publisher
- Elsevier Science
- Year
- 2000
- Tongue
- English
- Weight
- 156 KB
- Volume
- 24
- Category
- Article
- ISSN
- 0165-1889
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