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Optimal portfolios with bounded shortfall risks

This paper considers dynamic optimal portfolio strategies of utility maximizing
investors in the presence of risk constraints. In particular, we investigate the optimization problem with an additional constraint modeling bounded shortfall risk
measured by Value at Risk or Expected Loss. Using the Black-Scholes model of a
complete financial market and applying martingale methods we give analytic expressions for the optimal terminal wealth and the optimal portfolio strategies and
present some numerical results.

Identiferoai:union.ndltd.org:DRESDEN/oai:qucosa:de:qucosa:18199
Date26 August 2004
CreatorsGabih, Abdelali, Wunderlich, Ralf
PublisherTechnische Universität Chemnitz
Source SetsHochschulschriftenserver (HSSS) der SLUB Dresden
LanguageEnglish
Detected LanguageEnglish
Typedoc-type:lecture, info:eu-repo/semantics/lecture, doc-type:Text
Rightsinfo:eu-repo/semantics/openAccess

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