Dynamic Portfolio Selection under Conditional Capital at Risk Constraint
In this paper,we investigate the dynamic optimal portfolio selection. In a Black-Scholes setting,a conditional capital at risk constraint is imposed continuously over time. Making use of conditional information,the risk of trading portfolio is reevaluated dynamically to influence the investment decision. We apply the dynamic programming technique and optimal theory to obtain the optimal constrained portfolio allocation strategies in closed form. We find that two-fund separation also holds and the proportions invested in risky assets are lower than they would have been without the risk constraint. Numerical examples are presented.
dynamic portfolio selection conditional capital at risk Black-Scholes setting dynamic programming
Xiuguo Wang
School of Applied Mathematics,Central University of Finance and Economics,Beijing,China 100081
国际会议
香港
英文
223-227
2010-08-17（万方平台首次上网日期，不代表论文的发表时间）