Add to ORKGThis paper considers dynamic optimal portfolio strategies of utility maximizing investors in the presence of risk constraints. In particular, we investigate the optimization problem with an additional constraint modeling bounded shortfall risk measured by Value at Risk or Expected Loss. Using the Black-Scholes model of a complete financial market and applying martingale methods we give analytic expressions for the optimal terminal wealth and the optimal portfolio strategies and present some numerical results
summary:We investigate the problem of power utility maximization considering risk management and str...
This paper looks at the optimal portfolio problem when a value-at-risk constraint is imposed. This p...
Portfolio optimization under downside risk is of crucial importance to asset managers. In this artic...
This paper considers dynamic optimal portfolio strategies of utility maximizing investors in the pre...
The paper investigates dynamic optimal portfolio strategies of utility maximizing portfolio managers...
In this research, we search for optimal portfolio strategies in the presence of various risk measure...
In this thesis, we search for optimal portfolio strategies in the presence of various risk measure t...
We impose dynamically, a shortfall constraint in terms of Tail Conditional Expectation on the portfo...
The article analyzes optimal portfolio choice of utility maximizing agents in a general continuous-t...
Abstract. We consider a portfolio problem when a Tail Conditional Expectation constraint is imposed....
36 pagesWe investigate optimal consumption and investment problems for a Black-Scholes market under ...
The article analyzes optimal portfolio choice of utility maximizing agents in a general continuous-t...
The problem of maximizing the expected utility from terminal wealth in the presence of a stochastic ...
We discuss the portfolio selection problem of an investor/portfolio manager in an arbitrage-free fin...
We consider a continuous-time Markowitz type portfolio problem that consists of minimizing the disco...
summary:We investigate the problem of power utility maximization considering risk management and str...
This paper looks at the optimal portfolio problem when a value-at-risk constraint is imposed. This p...
Portfolio optimization under downside risk is of crucial importance to asset managers. In this artic...
This paper considers dynamic optimal portfolio strategies of utility maximizing investors in the pre...
The paper investigates dynamic optimal portfolio strategies of utility maximizing portfolio managers...
In this research, we search for optimal portfolio strategies in the presence of various risk measure...
In this thesis, we search for optimal portfolio strategies in the presence of various risk measure t...
We impose dynamically, a shortfall constraint in terms of Tail Conditional Expectation on the portfo...
The article analyzes optimal portfolio choice of utility maximizing agents in a general continuous-t...
Abstract. We consider a portfolio problem when a Tail Conditional Expectation constraint is imposed....
36 pagesWe investigate optimal consumption and investment problems for a Black-Scholes market under ...
The article analyzes optimal portfolio choice of utility maximizing agents in a general continuous-t...
The problem of maximizing the expected utility from terminal wealth in the presence of a stochastic ...
We discuss the portfolio selection problem of an investor/portfolio manager in an arbitrage-free fin...
We consider a continuous-time Markowitz type portfolio problem that consists of minimizing the disco...
summary:We investigate the problem of power utility maximization considering risk management and str...
This paper looks at the optimal portfolio problem when a value-at-risk constraint is imposed. This p...
Portfolio optimization under downside risk is of crucial importance to asset managers. In this artic...