Optimal investment with bounded VaR for power utility functions

Details Optimal investment with bounded VaR for power utility functions Optimal investment with bounded VaR for power utility functions

2010-02-19

arxiv.org/abs/1002.3681v2

Economy

Quantitative Finance

Portfolio Management

Scientific paper

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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