Optimal portfolios with bounded Capital-at-Risk

نویسندگان

  • Susanne Emmer
  • Ralf Korn
چکیده

We consider some continuous-time Markowitz type portfolio problems that consist of maximizing expected terminal wealth under the constraint of an upper bound for the Capital-at-Risk. In a Black-Scholes setting we obtain closed form explicit solutions and compare their form and implications to those of the classical continuous-time mean-variance problem. We also consider more general price processes which allow for larger uctuations in the returns.

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تاریخ انتشار 2000