On the Optimal Wealth Process in a Log-Normal Market: Applications to Risk Management
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References listed on IDEAS
- Campbell, Rachel & Huisman, Ronald & Koedijk, Kees, 2001. "Optimal portfolio selection in a Value-at-Risk framework," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1789-1804, September.
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- Jianming Xia, 2008. "Risk Aversion and Portfolio Selection in a Continuous-Time Model," Papers 0805.0618, arXiv.org, revised Dec 2011.
- Carlo Acerbi & Dirk Tasche, 2002. "Expected Shortfall: A Natural Coherent Alternative to Value at Risk," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 31(2), pages 379-388, July.
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- Ljudmila A. Bordag, 2019. "Portfolio optimization in the case of an exponential utility function and in the presence of an illiquid asset," Papers 1910.07417, arXiv.org, revised May 2020.
- Wai Mun Fong, 2018. "Synthetic growth stocks," Journal of Asset Management, Palgrave Macmillan, vol. 19(3), pages 162-168, May.
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Keywordsexpected utility; Merton problem; value at risk (VaR); expected shortfall; portfolio greeks;
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