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- W2369053998 abstract "We investigate dynamic portfolio selection problem.In a Black-Scholes setting,a capital at risk constraint is imposed.Making use of condition information,the risk of portfolio is reevaluated dynamically to influence the investment decision,rather than only at the terminal date like previous papers.Under the reasonable assumption,we apply the dynamic programming technique and optimal theory to derive the explicit solution of the optimal strategies,and numerical examples are presented." @default.
- W2369053998 created "2016-06-24" @default.
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- W2369053998 date "2007-01-01" @default.
- W2369053998 modified "2023-09-27" @default.
- W2369053998 title "Dynamic Portfolio Model under a Capital at Risk Constraint" @default.
- W2369053998 hasPublicationYear "2007" @default.
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