Optimal Dynamic Trading Strategies with Risk Limits

This paper finds out that the risk exposure of a trader subject to a VaR limit is always lower than that of an unconstrained trader and that the probability of extreme losses is also lower.

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Year of publication:	2001-12-01
Authors:	Couco, Domenico ; He, Hua ; Issaenko, Sergei
Publisher:	International Center for Financial Asset Management and Engineering (FAME) <Genf>
Subject:	Value at Risk \| Portfolio Selection \| Risikomaß \| Portfoliomanagement \| portfolio management \| Risikoverteilung \| Dynamische Modellierung

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Extent:	38 p. application/pdf
Series:	International Center for Financial Asset Management and Engineering (FAME) - Research Paper Series Arbeitspapiere ; 60 (2002)
Type of publication:	Book / Working Paper
Language:	English
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; D91 - Intertemporal Consumer Choice; Life Cycle Models and Saving ; D92 - Intertemporal Firm Choice and Growth, Investment, or Financing ; G11 - Portfolio Choice ; Financial theory ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005843396