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: | Bernd Luderer, Ralf Wunderlich, Daniel Akume |
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Format: | Article |
Language: | English |
Published: |
University Constantin Brancusi of Targu-Jiu
2010-06-01
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Series: | Surveys in Mathematics and its Applications |
Subjects: | |
Online Access: | http://www.utgjiu.ro/math/sma/v05/p12.pdf |
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