Continuous time portfolio selection under conditional capital at risk (Q609731): Difference between revisions
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Revision as of 00:44, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuous time portfolio selection under conditional capital at risk |
scientific article |
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Continuous time portfolio selection under conditional capital at risk (English)
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1 December 2010
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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.
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