Maximizing the Growth Rate under Risk Constraints

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dc.creatorPirvu, Traian A.
dc.creatorZitkovic, Gordan
dc.date2007-06-04
dc.date.accessioned2026-07-07T12:05:15Z
dc.date.available2026-07-07T12:05:15Z
dc.descriptionWe investigate the ergodic problem of growth-rate maximization under a class of risk constraints in the context of incomplete, Itô-process models of financial markets with random ergodic coefficients. Including {\em value-at-risk} (VaR), {\em tail-value-at-risk} (TVaR), and {\em limited expected loss} (LEL), these constraints can be both wealth-dependent(relative) and wealth-independent (absolute). The optimal policy is shown to exist in an appropriate admissibility class, and can be obtained explicitly by uniform, state-dependent scaling down of the unconstrained (Merton) optimal portfolio. This implies that the risk-constrained wealth-growth optimizer locally behaves like a CRRA-investor, with the relative risk-aversion coefficient depending on the current values of the market coefficients.
dc.identifierhttps://arxiv.org/abs/0706.0480
dc.identifierhttp://arxiv.org/abs/0706.0480
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208327
dc.subjectPortfolio Management
dc.subjectOptimization and Control
dc.subjectProbability
dc.subject91B30, 60H30, 60G44
dc.titleMaximizing the Growth Rate under Risk Constraints
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