Optimal Investment with Bounded VaR for Power Utility Functions

DOI10.1007/978-3-319-02069-3_6zbMath1418.91459arXiv1002.3681OpenAlexW1629551486MaRDI QIDQ4561929

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Publication date: 13 December 2018

Published in: Inspired by Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1002.3681

zbMATH Keywords

stochastic optimal controlportfolio optimizationvalue-at-riskrisk constraints

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Optimal stochastic control (93E20) Portfolio theory (91G10)

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Cites Work

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