Optimal portfolios with bounded shortfall risks
This paper considers dynamic optimal portfolio strategies of utility maximizing investors in the presence of risk constraints. In particular, we investigate the optimization problem with an additional constraint modeling bounded shortfall risk measured by Value at Risk or Expected Loss. Using the Bl...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | English |
| Published: |
Universitätsbibliothek Chemnitz
2004
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| Online Access: | http://nbn-resolving.de/urn:nbn:de:swb:ch1-200401202 http://nbn-resolving.de/urn:nbn:de:swb:ch1-200401202 http://www.qucosa.de/fileadmin/data/qucosa/documents/4868/data/ga_wu_tagungsband_2003.pdf http://www.qucosa.de/fileadmin/data/qucosa/documents/4868/20040120.txt |