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q-fin.PM2019
Discrete time portfolio optimisation managing value at risk under heavy tail return distribution
Subhojit Biswas, Diganta Mukherjee
We consider an investor, whose portfolio consists of a single risky asset and a risk free asset, who wants to maximize his expected utility of the portfolio subject to the Value at…
q-fin.PM2019
Portfolio Optimization Managing Value at Risk under Heavy Tail Return, using Stochastic Maximum Principle
Subhojit Biswas, Mrinal K. Ghosh, Diganta Mukherjee
We consider an investor, whose portfolio consists of a single risky asset and a risk free asset, who wants to maximize his expected utility of the portfolio subject to managing the…