Continuous Time Portfolio Selection under Conditional Capital at Risk
Joint Authors
Ware, Antony
Dmitrasinovic-Vidovic, Gordana
Li, Xun
Lari-Lavassani, Ali
Source
Journal of Probability and Statistics
Issue
Vol. 2010, Issue 2010 (31 Dec. 2010), pp.1-26, 26 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2010-06-17
Country of Publication
Egypt
No. of Pages
26
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Dmitrasinovic-Vidovic, Gordana& Lari-Lavassani, Ali& Li, Xun& Ware, Antony. 2010. Continuous Time Portfolio Selection under Conditional Capital at Risk. Journal of Probability and Statistics،Vol. 2010, no. 2010, pp.1-26.
https://search.emarefa.net/detail/BIM-512931
Modern Language Association (MLA)
Dmitrasinovic-Vidovic, Gordana…[et al.]. Continuous Time Portfolio Selection under Conditional Capital at Risk. Journal of Probability and Statistics No. 2010 (2010), pp.1-26.
https://search.emarefa.net/detail/BIM-512931
American Medical Association (AMA)
Dmitrasinovic-Vidovic, Gordana& Lari-Lavassani, Ali& Li, Xun& Ware, Antony. Continuous Time Portfolio Selection under Conditional Capital at Risk. Journal of Probability and Statistics. 2010. Vol. 2010, no. 2010, pp.1-26.
https://search.emarefa.net/detail/BIM-512931
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-512931