Optimal investment with bounded VaR for power utility functions

B\'enamar Chouaf and Serguei Pergamenchtchikov
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B\'enamar Chouaf: LMRS
Serguei Pergamenchtchikov: LMRS

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Abstract: 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.

Date: 2010-02, Revised 2010-02
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1002.3681

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