Theory of optimal consumption and portfolio selection under a Capital-at-Risk (CaR) and a Value-at-Risk (VaR) constraint

IMA Journal of Management Mathematics

Volumn 16, Issue 1, 2005, Pages 37-70

  Atkinson, Colin ^a   Papakokkinou, Maria ^a  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

Capital at Risk; Multivariate case; Portfolio selection; Univariate case; Utility function; Value at Risk

Indexed keywords

EID: 14744295480     PISSN: 1471678X     EISSN: None     Source Type: Journal    
DOI: 10.1093/imaman/dph031     Document Type: Article

References (21)