Optimal consumption and investment with bounded downside risk for power utility functions
Download full text from publisher
References listed on IDEAS
- Basak, Suleyman & Shapiro, Alexander, 2001.
"Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices,"
Review of Financial Studies,
Society for Financial Studies, vol. 14(2), pages 371-405.
- Suleyman Basak & Alex Shapiro, "undated". "Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices," Rodney L. White Center for Financial Research Working Papers 06-99, Wharton School Rodney L. White Center for Financial Research.
- 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-.
- Suleyman Basak & Alex Shapiro, "undated". "Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices," Rodney L. White Center for Financial Research Working Papers 6-99, Wharton School Rodney L. White Center for Financial Research.
- Susanne Emmer & Claudia Klüppelberg & Ralf Korn, 2001. "Optimal Portfolios with Bounded Capital at Risk," Mathematical Finance, Wiley Blackwell, vol. 11(4), pages 365-384.
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-02-27 (All new papers)
- NEP-RMG-2010-02-27 (Risk Management)
- NEP-UPT-2010-02-27 (Utility Models & Prospect Theory)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1002.2487. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators). General contact details of provider: http://arxiv.org/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.