Continuous Time Portfolio Selection under Conditional Capital at Risk

被引：2
|
作者：
Dmitrasinovic-Vidovic, Gordana [1 ]
Lari-Lavassani, Ali [1 ]
Li, Xun [1 ]
Ware, Antony [1 ]
机构：
[1] Univ Calgary, Math & Computat Finance Lab, Calgary, AB T2N 1N4, Canada
来源：
JOURNAL OF PROBABILITY AND STATISTICS | 2010年 / 2010卷
关键词：
D O I：
10.1155/2010/976371
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Portfolio optimization with respect to different riskmeasures is of interest to both practitioners and academics. For there to be a well-defined optimal portfolio, it is important that the risk measure be coherent and quasiconvex with respect to the proportion invested in risky assets. In this paper we investigate one such measure-conditional capital at risk-and find the optimal strategies under this measure, in the Black-Scholes continuous time setting, with time dependent coefficients.
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页数：26
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