Optimal investment with bounded VaR for power utility functions
Portfolio Management
2010-02-22 v2 Probability
Risk Management
Abstract
We consider the optimal investment problem for Black-Scholes type financial market with bounded VaR measure on the whole investment interval . The explicit form for the optimal strategies is found.
Cite
@article{arxiv.1002.3681,
title = {Optimal investment with bounded VaR for power utility functions},
author = {Bénamar Chouaf and Serguei Pergamenchtchikov},
journal= {arXiv preprint arXiv:1002.3681},
year = {2010}
}