Continuous-time mean-risk portfolio choice with weighted value-at-risk and law-invariant coherent risk measures
We study a continuous-time mean-risk portfolio choice problem in which an agent, with or without the bankruptcy constraint, chooses among the portfolios that achieve an exogenously given expected terminal wealth target with the objective of minimizing the risk of his portfolio. The risk is measured...
| Main Authors: | , , |
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| Format: | Journal article |
| Published: |
INFORMS (Institute for Operations Research and Management Sciences)
2015
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