Optimal investment with bounded VaR for power utility functions
classification
💱 q-fin.PM
math.PRq-fin.RM
keywords
investmentoptimalboundedblack-scholesconsiderexplicitfinancialform
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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.
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