Dynamic Mean-Risk Portfolio Selection with Multiple Risk Measures in Continuous-Time

2014 ◽  
Author(s):  
Jianjun Gao ◽  
Yan Xiong ◽  
Duan Li
Keyword(s):  
Portfolio Selection ◽  
Continuous Time ◽  
Risk Measures ◽  
Multiple Risk ◽  
Mean 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.

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