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Mean-risk portfolio selection models in continuous time

Abstract:

This paper is concerned with continuous-time portfolio selection models where the objective is to minimize the risk subject to a prescribed expected payoff at the terminal time. The risk is measured by the expectation of a certain function of the deviation of the terminal payoff from its mean. First of all, a model where the risk has different weights on the upside and downside variance is solved explicitly. The limit of this weighted mean-variance problem, as the weight on the upside varianc...

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Journal:
Proceedings of the IEEE Conference on Decision and Control More from this journal
Volume:
4
Pages:
3909-3914
Publication date:
2004-01-01
ISSN:
0191-2216
Language:
English
Pubs id:
pubs:147717
UUID:
uuid:21a1a8a1-0903-4c6a-8d81-9de352b1e1c5
Local pid:
pubs:147717
Source identifiers:
147717
Deposit date:
2013-11-17

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