Dynamic Portfolio Optimization with Bounded Shortfall Risks
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The authors study a dynamic portfolio optimization problem where the expected utility from terminal wealth is to be maximized. The new feature of this paper is an additional constraint on the portfolio strategy modelling bounded shortfall risks. The authors, by using martingale methods, obtain analytic expressions for the terminal wealth and the optimal portfolio strategy in a continuous-time model of a complete financial market. The authors also provide some numerical results.
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