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Title: Risk Minimizing Portfolio Optimization and Hedging with Conditional Value-at-Risk
Author: Li, Jing
Date Created: 2009
Description: 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 ...

Title: Risk Minimizing Portfolio Optimization and Hedging with Conditional Value-at-Risk
Author: Li, Jing
Date Created: 2009
Description: 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 ...

Title: Risk Minimizing Portfolio Optimization and Hedging with Conditional Value-at-Risk
Author: Li, Jing
Date Created: 2009
Subjects--Topical: Mathematics
Description: 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 ...