Optimal portfolios with bounded capital at risk

被引:75
作者
Emmer, S
Klüppelberg, C
Korn, R [1 ]
机构
[1] Univ Kaiserslautern, Dept Math, D-67653 Kaiserslautern, Germany
[2] Tech Univ Munich, Ctr Math Sci, Munich, Germany
关键词
Black-Scholes model; capital at risk; generalized inverse Gaussian diffusion; jump diffusion; portfolio optimization; value at risk;
D O I
10.1111/1467-9965.00121
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
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 that allow for larger fluctuations in the returns.
引用
收藏
页码:365 / 384
页数:20
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