CRRA Utility Maximization under Risk Constraints
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References listed on IDEAS
- Basak, Suleyman & Shapiro, Alexander, 2001.
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- 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.
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- Soriano-Morales, Yazmín Viridiana & Vallejo-Jiménez, Benjamín & Venegas-Martínez, Francisco, 2017. "Impact of the Degree of Relative Risk Aversion, the Interest Rate and the Exchange Rate Depreciation on Economic Welfare in a Small Open Economy," MPRA Paper 76441, University Library of Munich, Germany.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-06-18 (All new papers)
- NEP-RMG-2011-06-18 (Risk Management)
- NEP-UPT-2011-06-18 (Utility Models & Prospect Theory)
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