Optimal portfolios with bounded capital at risk

Mathematical Finance

Volumn 11, Issue 4, 2001, Pages 365-384

  Emmer, Susanne ^a   Klüppelberg, Claudia ^a   Korn, Ralf ^b  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

^b University of Koblenz Landau   (Germany)

Author keywords

Black scholes model; Capital at risk; Generalized inverse Gaussian diffusion; Jump diffusion; Portfolio optimization; Value at risk

Indexed keywords

EID: 0039840300     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00121     Document Type: Article

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