Continuous time portfolio selection under conditional capital at risk

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

doi:10.1155/2010/976371

Continuous time portfolio selection under conditional capital at risk

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

Research output: Journal article publication › Journal article › Academic research › peer-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 language	English
Article number	976371
Journal	Journal of Probability and Statistics
DOIs	https://doi.org/10.1155/2010/976371
Publication status	Published - 1 Dec 2010
Externally published	Yes

ASJC Scopus subject areas

Statistics and Probability

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10.1155/2010/976371

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AU - Dmitrasinovic-Vidovic, Gordana

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AU - Li, Xun

AU - Ware, Antony

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Y1 - 2010/12/1

N2 - 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.

AB - 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.

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Continuous time portfolio selection under conditional capital at risk

Abstract

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