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- W9509110 abstract "In this thesis we optimize portfolios of one riskless bond and several risky assets in the Black-Scholes model as well as when asset prices follow an exponential Levy process, which is a natural generalization of the Black-Scholes model. As an alternative to the classical mean variance portfolio selection which goes back to Markowitz, we consider as risk measures so called lower partial moments, e. g. the Value-at-Risk or the expected shortfall which are new benchmark risk measures. Here we replace the variance by the Capital-at-Risk (CaR), of which we think as the capital reserve in equity. We define the CaR as the difference between the riskless wealth and some risk measure. To solve these problems we derive new analytic results for Levy processes. We also give simulations for realistic financial models." @default.
- W9509110 created "2016-06-24" @default.
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- W9509110 date "2002-01-01" @default.
- W9509110 modified "2023-09-24" @default.
- W9509110 title "Optimal Portfolios with Bounded Downside Risks" @default.
- W9509110 hasPublicationYear "2002" @default.
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