Abstract
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 that allow for larger fluctuations in the returns.
| Original language | English |
|---|---|
| Pages (from-to) | 365-384 |
| Number of pages | 20 |
| Journal | Mathematical Finance |
| Volume | 11 |
| Issue number | 4 |
| DOIs | |
| State | Published - Oct 2001 |
Keywords
- Black-scholes model
- Capital at risk
- Generalized inverse Gaussian diffusion
- Jump diffusion
- Portfolio optimization
- Value at risk
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