Can I read Optimal Investment with Risk Constraints on EtoBox?
Optimal Investment with Risk Constraints by Sandeep Dhakal is a document available to read on EtoBox.
What is Optimal Investment with Risk Constraints about?
The article discusses optimal investment strategies under dynamic risk constraints and partial information, focusing on maximizing expected utility of terminal wealth. It models stock returns using stochastic differential equations and introduces risk constraints to stabilize trading strategies, particularly in scenarios with non-constant drift. The findings indicate that dynamic risk constraints effectively reduce portfolio risk and improve performance, with applications to historical stock prices.
- Author
- Sandeep Dhakal
- Language
- EN