Optimal investment with bounded VaR for power utility functions - Quantitative Finance > Portfolio ManagementReport as inadecuate




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Abstract: We consider the optimal investment problem for Black-Scholes type financialmarket with bounded VaR measure on the whole investment interval $0,T$. Theexplicit form for the optimal strategies is found.



Author: Bénamar Chouaf, Serguei Pergamenchtchikov LMRS

Source: https://arxiv.org/



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