Theory of optimal consumption and portfolio selection under a Capital-at-Risk (CaR) and a Value-at-Risk (VaR) constraint

Theory of optimal consumption and portfolio selection under a Capital-at-Risk (CaR) and a Value-at-Risk (VaR) constraint

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Article ID: iaor2008565
Country: United Kingdom
Volume: 16
Issue: 1
Start Page Number: 37
End Page Number: 70
Publication Date: Jan 2005
Journal: IMA Journal of Management Mathematics (Print)
Authors: ,
Keywords: programming: dynamic
Abstract:

The solution to the optimal portfolio selection and consumption rule subject to Capital-at-Risk and Value-at-Risk constraints is derived via the use of stochastic dynamic programming.

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