Optimal investment with bounded VaR for power utility functions
Bénamar ChouafSerguei Pergamenchtchikov
所有作者
Bénamar ChouafSerguei Pergamenchtchikov
文献摘要
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 found.