Optimal investment with bounded VaR for power utility functionsReport as inadecuate




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1 Laboratoire de Mathématiques Appliquées 2 LMRS - Laboratoire de Mathématiques Raphaël Salem

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


Keywords : Portfolio optimization Stochastic optimal control Risk constraints Value-at-Risk





Author: Bénamar Chouaf - Serguei Pergamenchtchikov -

Source: https://hal.archives-ouvertes.fr/



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