Optimal Portfolios with Bounded Capital at Risk

• 1 October 2001
• journal article
• Published by Wiley in Mathematical Finance
• Vol. 11  (4) , 365-384
• https://doi.org/10.1111/1467-9965.00121

Abstract

Keywords

• BLACK–SCHOLES MODEL
• CAPITAL AT RISK
• GENERALIZED INVERSE GAUSSIAN DIFFUSION
• JUMP DIFFUSION
• PORTFOLIO OPTIMIZATION
• VALUE AT RISK