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...
Saved in:
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2010-01-01
|
| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2010/976371 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1832558512612311040 |
|---|---|
| author | Gordana Dmitrasinovic-Vidovic Ali Lari-Lavassani Xun Li Antony Ware |
| author_facet | Gordana Dmitrasinovic-Vidovic Ali Lari-Lavassani Xun Li Antony Ware |
| author_sort | Gordana Dmitrasinovic-Vidovic |
| collection | DOAJ |
| description | 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 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. |
| format | Article |
| id | doaj-art-3785b5b3beb442e0a53acf17a87f578e |
| institution | Kabale University |
| issn | 1687-952X 1687-9538 |
| language | English |
| publishDate | 2010-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Probability and Statistics |
| spelling | doaj-art-3785b5b3beb442e0a53acf17a87f578e2025-02-03T01:32:06ZengWileyJournal of Probability and Statistics1687-952X1687-95382010-01-01201010.1155/2010/976371976371Continuous Time Portfolio Selection under Conditional Capital at RiskGordana Dmitrasinovic-Vidovic0Ali Lari-Lavassani1Xun Li2Antony Ware3The Mathematical and Computational Finance Laboratory, University of Calgary, Calgary, AB, T2N 1N4, CanadaThe Mathematical and Computational Finance Laboratory, University of Calgary, Calgary, AB, T2N 1N4, CanadaThe Mathematical and Computational Finance Laboratory, University of Calgary, Calgary, AB, T2N 1N4, CanadaThe Mathematical and Computational Finance Laboratory, University of Calgary, Calgary, AB, T2N 1N4, CanadaPortfolio 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 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.http://dx.doi.org/10.1155/2010/976371 |
| spellingShingle | Gordana Dmitrasinovic-Vidovic Ali Lari-Lavassani Xun Li Antony Ware Continuous Time Portfolio Selection under Conditional Capital at Risk Journal of Probability and Statistics |
| title | Continuous Time Portfolio Selection under Conditional Capital at Risk |
| title_full | Continuous Time Portfolio Selection under Conditional Capital at Risk |
| title_fullStr | Continuous Time Portfolio Selection under Conditional Capital at Risk |
| title_full_unstemmed | Continuous Time Portfolio Selection under Conditional Capital at Risk |
| title_short | Continuous Time Portfolio Selection under Conditional Capital at Risk |
| title_sort | continuous time portfolio selection under conditional capital at risk |
| url | http://dx.doi.org/10.1155/2010/976371 |
| work_keys_str_mv | AT gordanadmitrasinovicvidovic continuoustimeportfolioselectionunderconditionalcapitalatrisk AT alilarilavassani continuoustimeportfolioselectionunderconditionalcapitalatrisk AT xunli continuoustimeportfolioselectionunderconditionalcapitalatrisk AT antonyware continuoustimeportfolioselectionunderconditionalcapitalatrisk |