Optimal portfolio strategies under a shortfall constraint
We impose dynamically, a shortfall constraint in terms of Tail Conditional Expectation on the portfolio selection problem in continuous time, in order to obtain optimal strategies. The financial market is assumed to comprise n risky assets driven by geometric Brownian motion and one risk-free asset....
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Operations Research Society of South Africa (ORSSA)
2009-06-01
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| Series: | ORiON |
| Online Access: | http://orion.journals.ac.za/pub/article/view/70 |