Continuous Time Portfolio Selection under Conditional Capital at Risk | Zendy

Gordana Dmitrašinović-Vidović | Zendy; Ali Lari-Lavassani | Zendy; Xun Li | Zendy; Antony Ware | Zendy

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Continuous Time Portfolio Selection under Conditional Capital at Risk

Author(s) -

Gordana Dmitrašinović-Vidović,

Ali Lari-Lavassani,

Xun Li,

Antony Ware

Publication year - 2010

Publication title -

journal of probability and statistics

Language(s) - English

Resource type - Journals

eISSN - 1687-9538

pISSN - 1687-952X

DOI - 10.1155/2010/976371

Subject(s) - spectral risk measure , quasiconvex function , dynamic risk measure , portfolio , portfolio optimization , measure (data warehouse) , risk measure , selection (genetic algorithm) , econometrics , coherent risk measure , time consistency , capital (architecture) , mathematics , actuarial science , expected shortfall , economics , computer science , financial economics , convex optimization , regular polygon , convex set , geometry , archaeology , database , artificial intelligence , history

Portfolio optimization with respect to different risk measures is of interest to both practitioners and academics. For there to be a well-defined optimal portfolio, it is important that the risk measure be coherent and quasiconvex with respect to the proportion invested in risky assets. In this paper we investigate one such measure—conditional capital at risk—and find the optimal strategies under this measure, in the Black-Scholes continuous time setting, with time dependent coefficients

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