Optimal Investment with Bounded VaR for Power Utility Functions

Bénamar Chouaf () and Serguei Pergamenchtchikov ()
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Bénamar Chouaf: Université de Sidi Bel Abbes, Laboratoire de Mathématiques Appliquées
Serguei Pergamenchtchikov: UMR 6085 CNRS-Université de Rouen, Laboratoire de Mathématiques Raphaël Salem

A chapter in Inspired by Finance, 2014, pp 103-116 from Springer

Abstract: Abstract We consider an 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.

Keywords: Portfolio optimization; Stochastic optimal control; Risk constraints; Value-at-Risk; 91B28; 93E20 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-02069-3_6

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DOI: 10.1007/978-3-319-02069-3_6

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