LI, ZHONG-FEI; NG, KAI W.; TAN, KEN SENG; YANG, HAILIANG - In: International Journal of Theoretical and Applied … 09 (2006) 06, pp. 951-966
In this paper we propose a variant of the continuous-time Markowitz mean-variance model by incorporating the Earnings-at-Risk measure in the portfolio optimization problem. Under the Black-Scholes framework, we obtain closed-form expressions for the optimal constant-rebalanced portfolio (CRP)...