Continuous time portfolio selection under conditional capital at risk

Continuous time portfolio selection under conditional capital at risk

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Article ID: iaor20105680
Volume: 2010
Issue: 6
Start Page Number: 651
End Page Number: 660
Publication Date: Jun 2010
Journal: Journal of Probability and Statistics
Authors: , , ,
Keywords: portfolio management, Black-Scholes
Abstract:

Portfolio optimization with respect to different risk measures is of interest to both practitioners and academics. For there to be a well-defined optimal portfolio, it is important that the risk measure be coherent and quasiconvex with respect to the proportion invested in risky assets. In this paper we investigate one such measure–conditional capital at risk–and find the optimal strategies under this measure, in the Black-Scholes continuous time setting, with time dependent coefficients.

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