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Optimal investment with bounded VaR for power utility functions

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  • B\'enamar Chouaf

    (LMRS)

  • Serguei Pergamenchtchikov

    (LMRS)

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    Abstract

    We consider the optimal investment problem for Black-Scholes type financial market with bounded VaR measure on the whole investment interval $[0,T]$. The explicit form for the optimal strategies is found.

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    File URL: http://arxiv.org/pdf/1002.3681
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1002.3681.

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    Date of creation: Feb 2010
    Date of revision: Feb 2010
    Handle: RePEc:arx:papers:1002.3681

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    Web page: http://arxiv.org/

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    1. Suleyman Basak & Alexander Shapiro, 1999. "Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-032, New York University, Leonard N. Stern School of Business-.
    2. Susanne Emmer & Claudia Kl├╝ppelberg & Ralf Korn, 2001. "Optimal Portfolios with Bounded Capital at Risk," Mathematical Finance, Wiley Blackwell, vol. 11(4), pages 365-384.
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