Show simple item record

2011-07-11Buch DOI: 10.18452/4331
CRRA Utility Maximization under Risk Constraints
dc.contributor.authorMoreno-Bromberg, Santiago
dc.contributor.authorPirvu, Traian A.
dc.contributor.authorRéveillac, Anthony
dc.date.accessioned2017-06-16T00:24:24Z
dc.date.available2017-06-16T00:24:24Z
dc.date.created2011-07-19
dc.date.issued2011-07-11
dc.date.submitted2011-07-11
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4983
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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectBSDEeng
dc.subjectCRRA preferenceseng
dc.subjectconstrained utility maximizationeng
dc.subjectcorrespondenceseng
dc.subjectrisk measureseng
dc.subject.ddc330 Wirtschaft
dc.titleCRRA Utility Maximization under Risk Constraints
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100189681
dc.identifier.doihttp://dx.doi.org/10.18452/4331
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages26
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2011
local.edoc.container-issue43
local.edoc.container-year2011
local.edoc.container-erstkatid2195055-6

Show simple item record