Dynamic shortfall constraints for optimal portfolios
We consider a portfolio problem when a Tail Conditional Expectation constraint is imposed. The financial market is composed of n risky assets driven by geometric Brownian motion and one risk-free asset. The Tail Conditional Expectation is calculated for short intervals of time and imposed as ri...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
University Constantin Brancusi of Targu-Jiu
2010-06-01
|
| Series: | Surveys in Mathematics and its Applications |
| Subjects: | |
| Online Access: | http://www.utgjiu.ro/math/sma/v05/p12.pdf |