Continuous Time Portfolio Selection under Conditional Capital at Risk
Portfolio optimization with respect to different risk measures 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 pape...
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| Veröffentlicht in: | Journal of probability and statistics 2010, Vol.2010 (2010), p.1-26 |
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| Hauptverfasser: | , , , |
| Format: | Artikel |
| Sprache: | eng |
| Online-Zugang: | Volltext |
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