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Optimal Portfolios with Bounded Capital at Risk
Company: Mathematical Finance
Year Of Publication: 2000
Month Of Publication: January
Download Count: 1128
View Count: 8540
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 8-31-2002
Publisher: Administrator
Summary
We consider some continuous-time Markowitz type portfolio problems that consist of maximizing expected terminal wealth under the constraint of an upper bound for the Capital-at-Risk. In a Black-Scholes setting we obtain closed formexplicit solutions and compare their form and implications to those of the classical continuous-time mean-variance problem. We also consider more general price processes which allow for larger uctuations in the returns.
Author(s)
Emmer, Suzanne Sign in to follow this author
Kluppelberg, Claudia Sign in to follow this author
Korn, Ralf Sign in to follow this author
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