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Optimal Investment with Bounded VaR for Power Utility Functions

In: Inspired by Finance

Author

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  • Bénamar Chouaf

    (Université de Sidi Bel Abbes, Laboratoire de Mathématiques Appliquées)

  • Serguei Pergamenchtchikov

    (UMR 6085 CNRS-Université de Rouen, Laboratoire de Mathématiques Raphaël Salem
    National Research University-Higher School of Economics, Laboratory of Quantitative Finance
    National Research Tomsk State University, Department of Mathematics and Mechanics)

Abstract

We consider an 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.

Suggested Citation

  • Bénamar Chouaf & Serguei Pergamenchtchikov, 2014. "Optimal Investment with Bounded VaR for Power Utility Functions," Springer Books, in: Yuri Kabanov & Marek Rutkowski & Thaleia Zariphopoulou (ed.), Inspired by Finance, edition 127, pages 103-116, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-02069-3_6
    DOI: 10.1007/978-3-319-02069-3_6
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