Portfolio Management with Safety Criteria in Complete Financial Markets
18 Pages Posted: 16 Aug 2005
Abstract
We examine portfolio asset management under safety constraints that control the probability that the portfolio return falls under a given reference level. We extend previous results of Roy (1952) and Kataoka (1963) that have been proved in a one-period setting to both multiperiod discrete-time and continuous-time models. Basic examples illustrate the results.
Keywords: Portfolio optimization, Safety criteria, Quantile hedging
JEL Classification: C61, G11
Suggested Citation: Suggested Citation
Prigent, Jean-Luc and Toumi, Salwa, Portfolio Management with Safety Criteria in Complete Financial Markets. International Journal of Business, Vol. 10, No. 3, 2005, Available at SSRN: https://ssrn.com/abstract=778424
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