Utility Maximization Under Bounded Expected Loss
نویسندگان
چکیده
We consider the optimal selection of portfolios for utility maximizing investors under joint budget and shortfall risk constraints. The shortfall risk is measured in terms of the expected loss. Depending on the parameters of the risk constraint we show existence of an optimal solution and uniqueness of the corresponding Lagrange multipliers. Using Malliavin calculus we also provide the optimal trading strategy.
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