Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/56759 
Kompletter Metadatensatz
DublinCore-FeldWertSprache
dc.contributor.authorMoreno-Bromberg, Santiagoen
dc.contributor.authorPirvu, Traian A.en
dc.contributor.authorRéveillac, Anthonyen
dc.date.accessioned2011-07-15-
dc.date.accessioned2012-04-05T16:21:57Z-
dc.date.available2012-04-05T16:21:57Z-
dc.date.issued2011-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2011-043en
dc.subject.jelG10en
dc.subject.ddc330en
dc.subject.keywordBSDEen
dc.subject.keywordCRRA preferencesen
dc.subject.keywordconstrained utility maximizationen
dc.subject.keywordcorrespondencesen
dc.subject.keywordrisk measuresen
dc.subject.stwEntscheidung bei Risikoen
dc.subject.stwRisikoaversionen
dc.subject.stwRisikomaßen
dc.subject.stwNutzenen
dc.subject.stwTheorieen
dc.titleCRRA utility maximization under risk constraints-
dc.typeWorking Paperen
dc.identifier.ppn664288766en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

Datei(en):
Datei
Größe
628.82 kB





Publikationen in EconStor sind urheberrechtlich geschützt.