Continuous time portfolio selection under conditional capital at risk
type: Item
instance of: scholarly article
title: Continuous time portfolio selection under conditional capital at risk
zbMATH Open document ID: 1200.91279
DOI: 10.1155/2010/976371
author: Gordana Dmitrasinovic-Vidovic
author: Ali Lari-Lavassani
author: Xun Li
author: Antony Ware
published in: Journal of Probability and Statistics
publication date: 2010-12-01T00:00:00Z
full work available at URL: https://eudml.org/doc/233262
review text: Summary: 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 measure-conditional capital at risk-and find the optimal strategies under this measure, in the Black-Scholes continuous time setting, with time dependent coefficients.
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5822180
Wikidata QID: Q58652732
MaRDI profile type: Publication
OpenAlex ID: W2030612922
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description: scientific article; zbMATH DE number 5822180