This thesis looks at the problem of finding the optimal investment strategy of a self-financing portfolio in a dynamic complete market setting so that the risk measured by Conditional Value-at-Risk (CVaR) is minimized under the condition that the ...
This thesis looks at the problem of finding the optimal investment strategy of a self-financing portfolio in a dynamic complete market setting so that the risk measured by Conditional Value-at-Risk (CVaR) is minimized under the condition that the ...