DYNAMIC PORTFOLIO SELECTION UNDER CAPITAL-AT-RISK WITH NO SHORT-SELLING CONSTRAINTS

被引：1

作者：

Dmitrasinovic-Vidovic, Gordana ^{[1
]}

Lari-Lavassani, Ali ^{[2
]}

Li, Xun ^{[3
]}

Ware, Antony ^{[1
]}

机构：

[1] Univ Calgary, Dept Math & Stat, 2500 Univ Dr NW, Calgary, AB T2N 1N4, Canada

[2] QuantRisk Com, Miami, FL 33132 USA

[3] Hong Kong Polytech Univ, Dept Math Appl, Kowloon, Peoples R China

来源：

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2011年 / 14卷 / 06期

关键词：

Continuous-time; portfolio selection; portfolio optimization; capital at risk; short-selling;

D O I：

10.1142/S0219024911006802

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Portfolio optimization under downside risk is of crucial importance to asset managers. In this article we consider one such particular measure given by the notion of Capital at Risk (CaR), closely related to Value at Risk. We consider portfolio optimization with respect to CaR in the Black-Scholes setting with time dependent parameters and investment strategies, i.e., continuous-time portfolio optimization. We review the results from our previous work in unconstrained portfolio optimization, and then investigate and solve the corresponding problems with the additional constraint of no-short-selling. Analytical formulae are derived for the optimal strategies, and numerical examples are presented.

引用

页码：957 / 977

页数：21

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