This paper considers the problem of investment of capital in risky assets in adynamic capital market in continuous time. The problem addressed is the control of risk, and in particular the risk associated with errors in the estimation of returns on assets. The framework for investment risk is a...

Contingent Credit Lines (CCL) play an important role in the functioning of shortterm capital markets, yet their pricing and hedging have received little interest inthe theoretical finance literature. Risk management issues that arise in maintainingportfolios of CCL are almost completely...