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 (permanent link):urn:nbn:de:hbz:386-kluedo-10622
Serie (Series number):Report in Wirtschaftsmathematik (WIMA Report) (66)
Document Type:Preprint
Language of publication:English
Year of Completion:2000
Year of Publication:2000
Publishing Institute:Technische Universität Kaiserslautern
Tag:Black-Scholes model ; Capital-at-Risk ; Value-at-Risk; generalized inverse Gaussian diffusion ; jump diffusion ; portfolio optimization
Faculties / Organisational entities:Fachbereich Mathematik
DDC-Cassification:510 Mathematik

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