EconStor >
Humboldt-Universität Berlin >
Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/56759
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorMoreno-Bromberg, Santiagoen_US
dc.contributor.authorPirvu, Traian A.en_US
dc.contributor.authorRéveillac, Anthonyen_US
dc.date.accessioned2011-07-15en_US
dc.date.accessioned2012-04-05T16:21:57Z-
dc.date.available2012-04-05T16:21:57Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/56759-
dc.description.abstractThis paper studies the problem of optimal investment with CRRA (constant, relative risk aversion) preferences, subject to dynamic risk constraints on trading strategies. The market model considered is continuous in time and incomplete; furthermore, financial assets are modeled by Itô processes. The dynamic risk constraints (time, state dependent) are generated by risk measures. The optimal trading strategy is characterized by a quadratic BSDE. Special risk measures (Value-at-Risk, Tail Value-at-Risk and Limited Expected Loss ) are considered and a three-fund separation result is established in these cases. Numerical results emphasize the effect of imposing risk constraints on trading.en_US
dc.language.isoengen_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2011-043en_US
dc.subject.jelG10en_US
dc.subject.ddc330en_US
dc.subject.keywordBSDEen_US
dc.subject.keywordCRRA preferencesen_US
dc.subject.keywordconstrained utility maximizationen_US
dc.subject.keywordcorrespondencesen_US
dc.subject.keywordrisk measuresen_US
dc.subject.stwEntscheidung bei Risikoen_US
dc.subject.stwRisikoaversionen_US
dc.subject.stwRisikomaßen_US
dc.subject.stwNutzenen_US
dc.subject.stwTheorieen_US
dc.titleCRRA utility maximization under risk constraintsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn664288766en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

Files in This Item:
File Description SizeFormat
664288766.pdf628.82 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.