Dynamic growth-optimal portfolio choice under risk control
This paper studies a mean-risk portfolio choice problem for log-returns in a continuous-time, complete market. It is a growth-optimal portfolio choice problem under risk control. The risk of log-returns is measured by weighted Value-at-Risk (WVaR), which is a generalization of Value-at-Risk (VaR) an...
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| Main Authors: | , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
2025
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/181972 |
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| Institution: | Nanyang Technological University |
| Language: | English |