Optimal investment with bounded VaR for power utility functions - Quantitative Finance > Portfolio ManagementReportar como inadecuado




Optimal investment with bounded VaR for power utility functions - Quantitative Finance > Portfolio Management - Descarga este documento en PDF. Documentación en PDF para descargar gratis. Disponible también para leer online.

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.



Autor: Bénamar Chouaf, Serguei Pergamenchtchikov LMRS

Fuente: https://arxiv.org/



DESCARGAR PDF




Documentos relacionados