Ottink, N. (2006) Analysis of portfolio optimization with and without short-selling under Capital at Risk. Bachelor's Thesis, Industrial Engineering and Management.
![[img]](https://fse.studenttheses.ub.rug.nl/style/images/fileicons/text.png) |
Text
Nora_Ottink_bachelor.pdf - Published Version Restricted to RUG campus only Download (1MB) |
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: | https://fse.studenttheses.ub.rug.nl/id/eprint/8380 |
Actions (login required)
 |
View Item |