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Optimal investment with bounded VaR for power utility functions

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  • B'enamar Chouaf

    (LMRS)

  • Serguei Pergamenchtchikov

    (LMRS)

Abstract

We consider the optimal investment problem for Black-Scholes type financial market with bounded VaR measure on the whole investment interval $[0,T]$. The explicit form for the optimal strategies is found.

Suggested Citation

  • B'enamar Chouaf & Serguei Pergamenchtchikov, 2010. "Optimal investment with bounded VaR for power utility functions," Papers 1002.3681, arXiv.org, revised Feb 2010.
    • Handle: RePEc:arx:papers:1002.3681
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    References listed on IDEAS

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    1. Basak, Suleyman & Shapiro, Alexander, 2001. "Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices," The Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 371-405.
    2. Susanne Emmer & Claudia Klüppelberg & Ralf Korn, 2001. "Optimal Portfolios with Bounded Capital at Risk," Mathematical Finance, Wiley Blackwell, vol. 11(4), pages 365-384, October.
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