## Optimal portfolios with bounded Capital-at-Risk

• We consider some continuous-time Markowitz type portfolio problems that consist of maximizing expected terminal wealth under the constraint of an upper bound for the Capital-at-Risk. In a Black-Scholes setting we obtain closed form explicit solutions and compare their form and implications to those of the classical continuous-time mean-variance problem. We also consider more general price processes which allow for larger uctuations in the returns.

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Author: Susanne Emmer, Claudia Klüppelberg, Ralf Korn urn:nbn:de:hbz:386-kluedo-10622 Report in Wirtschaftsmathematik (WIMA Report) (66) Preprint English 2000 2000 Technische Universität Kaiserslautern 2000/08/28 Black-Scholes model ; Capital-at-Risk ; Value-at-Risk; generalized inverse Gaussian diffusion ; jump diffusion ; portfolio optimization Fachbereich Mathematik 5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011

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