Dynamic Portfolio Selection under Conditional Capital at Risk Constraint

2010 ◽  
Author(s):  
Xiuguo Wang
Keyword(s):  
At Risk ◽  
Portfolio Selection ◽  
Dynamic Portfolio ◽  
Risk Constraint ◽  
Capital At Risk

scholarly journals Continuous Time Portfolio Selection under Conditional Capital at Risk

2010 ◽  
Vol 2010 ◽  
pp. 1-26 ◽  
Author(s):  
Gordana Dmitrasinovic-Vidovic ◽  
Ali Lari-Lavassani ◽  
Xun Li ◽  
Antony Ware
Keyword(s):  
At Risk ◽  
Portfolio Selection ◽  
Continuous Time ◽  
Risk Measures ◽  
Risk Measure ◽  
Optimal Strategies ◽  
Time Dependent ◽  
Risky Assets ◽  
Black Scholes ◽  
Capital At Risk

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.

DYNAMIC PORTFOLIO SELECTION UNDER CAPITAL-AT-RISK WITH NO SHORT-SELLING CONSTRAINTS

2011 ◽  
Vol 14 (06) ◽  
pp. 957-977 ◽  
Author(s):  
GORDANA DMITRAŠINOVIĆ-VIDOVIĆ ◽  
ALI LARI-LAVASSANI ◽  
XUN LI ◽  
ANTONY WARE
Keyword(s):  
At Risk ◽  
Portfolio Optimization ◽  
Value At Risk ◽  
Optimal Strategies ◽  
Short Selling ◽  
Investment Strategies ◽  
Black Scholes ◽  
Dynamic Portfolio ◽  
Analytical Formulae ◽  
Capital At Risk

Portfolio optimization under downside risk is of crucial importance to asset managers. In this article we consider one such particular measure given by the notion of Capital at Risk (CaR), closely related to Value at Risk. We consider portfolio optimization with respect to CaR in the Black-Scholes setting with time dependent parameters and investment strategies, i.e., continuous-time portfolio optimization. We review the results from our previous work in unconstrained portfolio optimization, and then investigate and solve the corresponding problems with the additional constraint of no-short-selling. Analytical formulae are derived for the optimal strategies, and numerical examples are presented.

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