We investigate multiperiod portfolio selection problems in a Black & Scholes type market where a basket of 1 riskfree and m risky securities are traded continuously. We look for the optimal allocation of wealth within the class of 'constant mix' portfolios.First, we consider the portfolio...

In this paper we analyze and evaluate a standard approach financial institutions use to calculate their so-called total economic capital. If we consider a business that faces a total random loss S over a given one-year horizon then economic capital is traditionally defined as the difference...