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Continuous Time Portfolio Selection under Conditional Capital at Risk

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  • Gordana Dmitrasinovic-Vidovic
  • Ali Lari-Lavassani
  • Xun Li
  • Antony Ware

Abstract

Portfolio optimization with respect to different risk measures is of interest to both practitioners and academics. For there to be a well-defined optimal portfolio, it is important that the risk measure be coherent and quasiconvex with respect to the proportion invested in risky assets. In this paper we investigate one such measure—conditional capital at risk—and find the optimal strategies under this measure, in the Black-Scholes continuous time setting, with time dependent coefficients.

Suggested Citation

  • Gordana Dmitrasinovic-Vidovic & Ali Lari-Lavassani & Xun Li & Antony Ware, 2010. "Continuous Time Portfolio Selection under Conditional Capital at Risk," Journal of Probability and Statistics, Hindawi, vol. 2010, pages 1-26, June.
    • Handle: RePEc:hin:jnljps:976371
    DOI: 10.1155/2010/976371
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