Title: Theory of optimal consumption and portfolio selection under a Capital-at-Risk (CaR) and a Value-at-Risk (VaR) constraint
Abstract: The solution to the optimal portfolio selection and consumption rule subject to Capital-at-Risk and Value-at-Risk constraints is derived via the use of stochastic dynamic programming.
Publication Year: 2004
Publication Date: 2004-12-22
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 17
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