IDEAS home Printed from https://ideas.repec.org/p/arx/papers/2509.26009.html
   My bibliography  Save this paper

A Martingale approach to continuous Portfolio Optimization under CVaR like constraints

Author

Listed:
  • J'er^ome Lelong

    (LJK)

  • V'eronique Maume-Deschamps
  • William Thevenot

Abstract

We study a continuous-time portfolio optimization problem under an explicit constraint on the Deviation Conditional Value-at-Risk (DCVaR), defined as the difference between the CVaR and the expected terminal wealth. While the mean-CVaR framework has been widely explored, its time-inconsistency complicates the use of dynamic programming. We follow the martingale approach in a complete market setting, as in Gao et al. [4], and extend it by retaining an explicit DCVaR constraint in the problem formulation. The optimal terminal wealth is obtained by solving a convex constrained minimization problem. This leads to a tractable and interpretable characterization of the optimal strategy.

Suggested Citation

  • J'er^ome Lelong & V'eronique Maume-Deschamps & William Thevenot, 2025. "A Martingale approach to continuous Portfolio Optimization under CVaR like constraints," Papers 2509.26009, arXiv.org.
    • Handle: RePEc:arx:papers:2509.26009
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/2509.26009
    File Function: Latest version
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    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:2509.26009. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using this form .

    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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.