Continuous time portfolio selection under conditional capital at risk
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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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Cites work
- Application of Coherent Risk Measures to Capital Requirements in Insurance
- Asymptotic behaviour of mean-quantile efficient portfolios
- Conditional value-at-risk: optimization approach
- Convex measures of risk and trading constraints
- Dynamic coherent risk measures
- Expected shortfall and beyond
- scientific article; zbMATH DE number 3748742 (Why is no real title available?)
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- Optimal portfolios with bounded capital at risk.
- Some remarks on the value-at-risk and the conditional value-at-risk
Cited in
(13)- On dynamic deviation measures and continuous-time portfolio optimization
- On the use of conditional expectation in portfolio selection problems
- Continuous-time portfolio selection and option pricing under risk-minimization criterion in an incomplete market
- A continuous selection for optimal portfolios under convex risk measures does not always exist
- Continuous-time mean-risk portfolio selection
- scientific article; zbMATH DE number 1642350 (Why is no real title available?)
- Dynamic portfolio selection under capital-at-risk with no short-selling constraints
- Risk-reward optimization with discrete-time coherent risk
- Optimal portfolio selection via conditional convex risk measures on \(L ^{p }\)
- Portfolio selection with commodities under conditional copulas and skew preferences
- Continuous-time optimal portfolio selection using mean-CaR models
- Optimal portfolio strategies benchmarking the stock market
- Asymptotic behaviour of mean-quantile efficient portfolios
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