Optimal Dynamic Trading Strategies with Risk Limits

This paper finds out that the risk exposure of a trader subject to a VaR limit is always lower than that of an unconstrained trader and that the probability of extreme losses is also lower.

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Year of publication:	2001-12-01
Authors:	Couco, Domenico ; He, Hua ; Issaenko, Sergei
Publisher:	International Center for Financial Asset Management and Engineering (FAME) <Genf>
Subject:	Value at Risk \| Portfolio Selection \| Risikomaß \| Portfoliomanagement \| portfolio management \| Risikoverteilung \| Dynamische Modellierung

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Table of Contents
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1. Introduction
2. The model
3. Optimal trading strategies under VaR limits
4. Examples with CRRA Utility
5. TCE Limits

Persistent link: https://www.econbiz.de/10005843396