Theory of optimal consumption and portfolio selection under a Capital-at-Risk (CaR) and a Value-at-Risk (VaR) constraint (Q5313257)
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scientific article; zbMATH DE number 2199626
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Theory of optimal consumption and portfolio selection under a Capital-at-Risk (CaR) and a Value-at-Risk (VaR) constraint |
scientific article; zbMATH DE number 2199626 |
Statements
Theory of optimal consumption and portfolio selection under a Capital-at-Risk (CaR) and a Value-at-Risk (VaR) constraint (English)
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26 August 2005
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portfolio selection
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capital-at-risk
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value-at-risk
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utility function
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univariate case
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multivariate case
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