Optimal investment with bounded VaR for power utility functions
B\'enamar Chouaf, Serguei Pergamenchtchikov (LMRS)
TL;DR
This paper derives explicit optimal investment strategies in a Black-Scholes market considering a bounded VaR constraint over the entire investment period, enhancing risk management in financial decision-making.
Contribution
It provides a novel explicit solution for optimal investment strategies under bounded VaR constraints in continuous-time markets.
Findings
Explicit optimal strategies derived for bounded VaR constraints.
Enhanced understanding of risk management in continuous-time investment.
Potential applications in financial regulation and portfolio optimization.
Abstract
We consider the optimal investment problem for Black-Scholes type financial market with bounded VaR measure on the whole investment interval . The explicit form for the optimal strategies is found.
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Taxonomy
TopicsStochastic processes and financial applications · Risk and Portfolio Optimization · Capital Investment and Risk Analysis