Dynamic Portfolio Selection under Capital-at-Risk∗
نویسندگان
چکیده
Portfolio optimization under downside risk while preserving the upside is of crucial importance to asset managers. In the Black-Scholes setting, we consider one such particular measure given by the notion of capital-at-risk. This paper generalizes the work of Emmer et al., 2001, to the case of time dependent parameters and investment strategies, i.e., continuous-time portfolio optimization, and considers furthermore, the additional constraint of no-short-selling. Analytical formulae are derived for the optimal strategies, and numerical examples are presented.
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