Optimal portfolios with bounded shortfall risks

Description

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.

Links & Downloads

1. urn:nbn:de:swb:ch1-200401202
2. https://monarch.qucosa.de/id/qucosa%3A18199
3. https://monarch.qucosa.de/api/qucosa%3A18199/attachment/ATT-0/
4. https://monarch.qucosa.de/api/qucosa%3A18199/attachment/ATT-1/

Tags

info:eu-repo/classification/ddc/510

ddc:510

Black-Scholes model

dynamic strategy

martingale method

optimal portfolio

shortfall risk

Additional Fields

Identifer	oai:union.ndltd.org:DRESDEN/oai:qucosa:de:qucosa:18199
Date	26 August 2004
Creators	Gabih, Abdelali, Wunderlich, Ralf
Publisher	Technische Universität Chemnitz
Source Sets	Hochschulschriftenserver (HSSS) der SLUB Dresden
Language	English
Detected Language	English
Type	doc-type:lecture, info:eu-repo/semantics/lecture, doc-type:Text
Rights	info:eu-repo/semantics/openAccess