Theory of optimal consumption and portfolio selection under a Capital-at-Risk (CaR) and a Value-at-Risk (VaR) constraint |
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| Authors: | Atkinson, Colin Papakokkinou, Maria |
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| Affiliation: | 1 Department of Mathematics, Imperial College, London SW7 2AZ, UK, 2 Imperial College London and Citigroup, Citigroup Centre, 33 Canada Square, Canary Wharf, London E14 5LB, UK |
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| Abstract: | The solution to the optimal portfolio selection and consumptionrule subject to Capital-at-Risk and Value-at-Risk constraintsis derived via the use of stochastic dynamic programming. |
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| Keywords: | portfolio selection Capital at Risk Value at Risk utility function univariate case multivariate case |
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