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Analysis of portfolio optimization with and without short-selling under Capital at Risk

Ottink, N. (2006) Analysis of portfolio optimization with and without short-selling under Capital at Risk. Bachelor's Thesis, Industrial Engineering and Management.

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Abstract

We consider a continuous-time portfolio problem with a capital at risk (CaR) constraint for constant portfolio processes. We get closed-form solutions and compare these with solutions for the mean-variance problem. Also, the portfolio problem under CaR with short-selling constraints is solved. Furthermore, we show that capital at risk is not a coherent risk measure.

Item Type: Thesis (Bachelor's Thesis)
Degree programme: Industrial Engineering and Management
Thesis type: Bachelor's Thesis
Language: English
Date Deposited: 15 Feb 2018 07:28
Last Modified: 15 Feb 2018 07:28
URI: http://fse.studenttheses.ub.rug.nl/id/eprint/8380

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