Dynamic portfolio selection under capital-at-risk with no short-selling constraints

Gordana Dmitrašinovi-Vidovi, Ali Lari-Lavassani, Xun Li, Antony Ware

Research output: Journal article publicationJournal articleAcademic researchpeer-review

2 Citations (Scopus)

Abstract

Portfolio optimization under downside risk is of crucial importance to asset managers. In this article we consider one such particular measure given by the notion of Capital at Risk (CaR), closely related to Value at Risk. We consider portfolio optimization with respect to CaR in the Black-Scholes setting with time dependent parameters and investment strategies, i.e., continuous-time portfolio optimization. We review the results from our previous work in unconstrained portfolio optimization, and then investigate and solve the corresponding problems with the additional constraint of no-short-selling. Analytical formulae are derived for the optimal strategies, and numerical examples are presented.
Original languageEnglish
Pages (from-to)957-977
Number of pages21
JournalInternational Journal of Theoretical and Applied Finance
Volume14
Issue number6
DOIs
Publication statusPublished - 1 Sep 2011

Keywords

  • capital at risk
  • Continuous-time
  • portfolio optimization
  • portfolio selection
  • short-selling

ASJC Scopus subject areas

  • Finance
  • Economics, Econometrics and Finance(all)

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