Dynamic growth-optimal portfolio choice under risk control

• Main Authors: Wei, Pengyu, Xu, Zuo Quan
• Other Authors: Nanyang Business School
• Format: Article
• Language: English
• Published: 2025
• Subjects: Business and Management; Portfolio optimization; Log-return
• Online Access: https://hdl.handle.net/10356/181972
• Institution: Nanyang Technological University

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...