|
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 Field | | Value | | Language |
| dc.contributor.author | | Moreno-Bromberg, Santiago | | en_US |
| dc.contributor.author | | Pirvu, Traian A. | | en_US |
| dc.contributor.author | | Réveillac, Anthony | | en_US |
| dc.date.accessioned | | 2011-07-15 | | en_US |
| dc.date.accessioned | | 2012-04-05T16:21:57Z | | - |
| dc.date.available | | 2012-04-05T16:21:57Z | | - |
| dc.date.issued | | 2011 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/56759 | | - |
| dc.description.abstract | | This 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.iso | | eng | | en_US |
| dc.publisher | | SFB 649, Economic Risk Berlin | | en_US |
| dc.relation.ispartofseries | | SFB 649 discussion paper 2011-043 | | en_US |
| dc.subject.jel | | G10 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | BSDE | | en_US |
| dc.subject.keyword | | CRRA preferences | | en_US |
| dc.subject.keyword | | constrained utility maximization | | en_US |
| dc.subject.keyword | | correspondences | | en_US |
| dc.subject.keyword | | risk measures | | en_US |
| dc.subject.stw | | Entscheidung bei Risiko | | en_US |
| dc.subject.stw | | Risikoaversion | | en_US |
| dc.subject.stw | | Risikomaß | | en_US |
| dc.subject.stw | | Nutzen | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | CRRA utility maximization under risk constraints | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 664288766 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|