Optimal Portfolios with Bounded Capital at Risk
✍ Scribed by Susanne Emmer; Claudia Klüppelberg; Ralf Korn
- Book ID
- 108550493
- Publisher
- John Wiley and Sons
- Year
- 2001
- Tongue
- English
- Weight
- 387 KB
- Volume
- 11
- Category
- Article
- ISSN
- 0960-1627
No coin nor oath required. For personal study only.
📜 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 fulÿl the requirement of regulators on market risks. The value-at-risk constraint is derived for n risky assets plus a risk-free asset an