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Risk Aversion Asymptotics for Power Utility Maximization
power utility risk aversion asymptotics opportunity process BSDE
2010/4/27
We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one. The convergence of t...
Optimal investment with bounded VaR for power utility functions
Portfolio optimization Stochastic optimal control Risk constraints Value-at-Risk
2010/4/27
We consider the optimal investment problem for Black-Scholes type financial market with bounded VaR measure on the whole investment interval $[0,T]$. The explicit form for the optimal strategies is fo...
Optimal consumption and investment with bounded downside risk for power utility functions
Portfolio optimization Stochastic optimal control Risk constraints Value-at-Risk Expected Shortfall
2010/4/27
We investigate optimal consumption and investment problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall. We formulate various utility maximization prob...