Optimal Portfolio under a Conditional Value-at-Risk Constraint
碩士 === 國立臺灣大學 === 財務金融學研究所 === 94 === This paper looks at the optimal portfolio when a conditional value-at-risk dynamic constraint is imposed and analyses the consumption, utility and asset value in the portfolio. The optimal portfolio problem is formulated as a constrained maximization of expecte...
Main Authors: | , |
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Other Authors: | |
Format: | Others |
Language: | zh-TW |
Published: |
2006
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Online Access: | http://ndltd.ncl.edu.tw/handle/95651439779761329970 |