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Theory of optimal consumption and portfolio selection under a Capital-at-Risk (CaR) and a Value-at-Risk (VaR) constraint.
- Source :
- IMA Journal of Management Mathematics; Jan2005, Vol. 16 Issue 1, p37-70, 34p
- Publication Year :
- 2005
-
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. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 1471678X
- Volume :
- 16
- Issue :
- 1
- Database :
- Complementary Index
- Journal :
- IMA Journal of Management Mathematics
- Publication Type :
- Academic Journal
- Accession number :
- 16680303
- Full Text :
- https://doi.org/10.1093/imaman/dph031