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Optimal Portfolios with Bounded Downside Risks
Year Of Publication: 2000
Month Of Publication: May
Pages: 19
Download Count: 985
View Count: 14055
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 9-19-2002
Publisher: Administrator
Summary
We consider some continuous-time Markowitz type portfolio problems that consist of maximizing expected terminal wealth under the contraint of an upper bound on Capital-at-Risk of the expected shortfall. In a Black-Scholes setting we obtain bounds for the solutions and compare numerical solutions to those of the mean-quantile problem and of the classical mean-variance problem. We also consider problems in a Black-Scholes setting with jumps which allow only numerical solution.<
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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