Continuous Time Portfolio Selection under Conditional Capital at Risk
نویسندگان
چکیده
منابع مشابه
Continuous Time Portfolio Selection under Conditional Capital at Risk
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 und...
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ژورنال
عنوان ژورنال: Journal of Probability and Statistics
سال: 2010
ISSN: 1687-952X,1687-9538
DOI: 10.1155/2010/976371