Optimal investment with bounded VaR for power utility functions

We consider the optimal investment problem for Black-Scholes type financial market with bounded VaR measure on the whole investment interval $[0,T]$. The explicit form for the optimal strategies is found.

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Year of publication:	2010-02
Authors:	B\'enamar Chouaf ; Pergamenchtchikov, Serguei
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008615489