Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/14447
Title: Dynamic portfolio selection under capital-at-risk with no short-selling constraints
Authors: Dmitrasinovic-Vidovi, G
Lari-Lavassani, A
Li, X 
Ware, A
Keywords: Capital at risk
Continuous-time
Portfolio optimization
Portfolio selection
Short-selling
Issue Date: 2011
Source: International journal of theoretical and applied finance, 2011, v. 14, no. 6, p. 957-977 How to cite?
Journal: International Journal of Theoretical and Applied Finance 
Abstract: Portfolio optimization under downside risk is of crucial importance to asset managers. In this article we consider one such particular measure given by the notion of Capital at Risk (CaR), closely related to Value at Risk. We consider portfolio optimization with respect to CaR in the Black-Scholes setting with time dependent parameters and investment strategies, i.e., continuous-time portfolio optimization. We review the results from our previous work in unconstrained portfolio optimization, and then investigate and solve the corresponding problems with the additional constraint of no-short-selling. Analytical formulae are derived for the optimal strategies, and numerical examples are presented.
URI: http://hdl.handle.net/10397/14447
ISSN: 0219-0249
DOI: 10.1142/S0219024911006802
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