Theory of optimal consumption and portfolio selection under a Capital-at-Risk (CaR) and a Value-at-Risk (VaR) constraint

DOI10.1093/imaman/dph031zbMath1181.91289OpenAlexW2091736322WikidataQ60171488 ScholiaQ60171488MaRDI QIDQ5313257

Maria Papakokkinou, Colin Atkinson

Publication date: 26 August 2005

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dph031

zbMATH Keywords

utility functionvalue-at-riskportfolio selectionunivariate casemultivariate casecapital-at-risk

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39) Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10)

Related Items (7)

Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches ⋮ Volatility, risk modeling and utility ⋮ Maximizing expected exponential utility of consumption with a constraint on expected time in poverty ⋮ Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis ⋮ Optimal investment-reinsurance policy for an insurance company with VaR constraint ⋮ Portfolio optimization under the Value-at-Risk constraint ⋮ MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS

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