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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.
Author: | Susanne Emmer, Claudia Klüppelberg, Ralf Korn |
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URN: | urn:nbn:de:hbz:386-kluedo-10622 |
Series (Serial Number): | Report in Wirtschaftsmathematik (WIMA Report) (66) |
Document Type: | Preprint |
Language of publication: | English |
Year of Completion: | 2000 |
Year of first Publication: | 2000 |
Publishing Institution: | Technische Universität Kaiserslautern |
Date of the Publication (Server): | 2000/08/28 |
Tag: | Black-Scholes model; Capital-at-Risk; Value-at-Risk; generalized inverse Gaussian diffusion; jump diffusion; portfolio optimization |
Faculties / Organisational entities: | Kaiserslautern - Fachbereich Mathematik |
DDC-Cassification: | 5 Naturwissenschaften und Mathematik / 510 Mathematik |
Licence (German): | Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011 |