Asymptotic behaviour of mean-quantile efficient portfolios (Q881418)

The authors consider downside risk measures, such as famous value at risk (VaR), relative value at risk (RVaR) and also a capital at risk (CaR) that is defined as the difference between the riskless wealth and the quantile. These three measures are investigated in the Black-Scholes setting in continuous time and with time dependent coefficients. Using and generalizing the optimization approach to continuous-time setting, the authors show that every optimal portfolio is a weighted average of Merton's portfolio and the bond. They determine the proportions of wealth invested into the risky assets, subject to constrained VaR, CaR and RVaR, and examine their asymptotic behaviour. In this order, the analytical solutions for the maximal expected wealth problems subject to mentioned above constrained measures are derived and their asymptotic behaviour as the time horizon increases is investigated.