Optimal investment with bounded VaR for power utility functions

Bénamar Chouaf (1) , Serguei Pergamenchtchikov (2)

1 Laboratoire de Mathématiques Appliquées
2 LMRS - Laboratoire de Mathématiques Raphaël Salem

We consider the optimal investment problem for Black-Scholes type financial market with bounded VaR measure on the whole investment interval $[0,T]$. The explicit form for the optimal strategies is found.

Mots clés: Portfolio optimization; Stochastic optimal control; Risk constraints; Value-at-Risk

Domaines: Probabilités [math.PR]

Bénamar Chouaf, Serguei Pergamenchtchikov. Optimal investment with bounded VaR for power utility functions. 2010. ⟨hal-00457354v2⟩