Continuous time portfolio selection under conditional capital at risk

Gordana Dmitrasinovic-Vidovic, Ali Lari-Lavassani, Xun Li, Antony Ware

Research output: Journal article publicationJournal articleAcademic researchpeer-review

2 Citations (Scopus)

Abstract

Portfolio optimization with respect to different risk measures is of interest to both practitioners and academics. For there to be a well-defined optimal portfolio, it is important that the risk measure be coherent and quasiconvex with respect to the proportion invested in risky assets. In this paper we investigate one such measureconditional capital at riskand find the optimal strategies under this measure, in the Black-Scholes continuous time setting, with time dependent coefficients.
Original languageEnglish
Article number976371
JournalJournal of Probability and Statistics
DOIs
Publication statusPublished - 1 Dec 2010
Externally publishedYes

ASJC Scopus subject areas

  • Statistics and Probability

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