Optimal Portfolio With Risk Control

YE Zhongxing, LI Jun. Optimal Portfolio With Risk Control[J]. Chinese Journal of Applied Probability and Statistics, 1999, 15(2): 152-167.

Citation:

YE Zhongxing, LI Jun. Optimal Portfolio With Risk Control[J]. Chinese Journal of Applied Probability and Statistics, 1999, 15(2): 152-167.

Citation:

YE Zhongxing, LI Jun. Optimal Portfolio With Risk Control[J]. Chinese Journal of Applied Probability and Statistics, 1999, 15(2): 152-167.

Abstract

In this paper, we introduce a model of log-optimal portfolio selection with risk constraint. We study the properties of doubling rate-risk function and critical risk and estimate the the maximal and minimal risks. Examples for which the precisely analytic form of doubling rate-risk function is available are provided.

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