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Continuous-time mean-risk portfolio choice with weighted value-at-risk and law-invariant coherent risk measures

Abstract:

We study a continuous-time mean-risk portfolio choice problem in which an agent, with or without the bankruptcy constraint, chooses among the portfolios that achieve an exogenously given expected terminal wealth target with the objective of minimizing the risk of his portfolio. The risk is measured either by a so-called weighted value-at-risk risk measure, which is a generalization of value-at-risk and conditional value-at-risk, or by a law-invariant coherent risk measure. For the WVaR case, ...

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Publication status:
In press
Peer review status:
Peer reviewed

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Publisher copy:
10.1287/moor.2014.0695

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Institution:
University of Oxford
Department:
Oxford, MPLS, Mathematical Inst
More by this author
Institution:
University of Oxford
Department:
Oxford, MPLS, Mathematical Inst
Publisher:
INFORMS (Institute for Operations Research and Management Sciences) Publisher's website
Journal:
Mathematics of Operations Research Journal website
Publication date:
2015
DOI:
ISSN:
1526-5471
URN:
uuid:42ff884b-73ac-4835-87e4-d363a641e719
Source identifiers:
525214
Local pid:
pubs:525214

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