Abstract
This paper studies continuous-time optimal portfolio selection under the setting of Black-Scholes financial markets and constant re-balanced portfolio (CRP) investment strategies. Three mean-CaR models are formulated, which minimize the risk measured by capital-at-risk (CaR) under the constraint that the expected terminal wealth is not lower than a pre-assigned level. These models are converted into bi-level optimization problems by virtue of a decomposition of the feasible solution set and, as a result, explicit optimal strategies and efficient frontiers are obtained in closed-form. A comparison of the three mean-CaR models and a numerical example illustrating the results are presented. Some economic implications of the results are also examined.
| Original language | English |
|---|---|
| Pages (from-to) | 35-49 |
| Journal | Nonlinear Dynamics and Systems Theory |
| Volume | 7 |
| Issue number | 1 |
| Publication status | Published - Mar 2007 |
Bibliographical note
Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].Research Keywords
- Black Scholes financial markets
- Capital-at-Risk (CaR)
- Constant-rebalanced portfolios (CRP)
- Continuous-time portfolio selection
- Mean-CaR models
Fingerprint
Dive into the research topics of 'Continuous-time optimal portfolio selection using mean-CaR models'. Together they form a unique fingerprint.Cite this
- APA
- Author
- BIBTEX
- Harvard
- Standard
- RIS
- Vancouver