Journal article
CRRA Utility Maximization under Risk Constraints
Abstract
This paper studies the problem of optimal investment with CRRA (constant,
relative risk aversion) preferences, subject to dynamic risk constraints on
Authors
Moreno-Bromberg S; Pirvu T; Réveillac A
Journal
, , ,
Publication Date
June 9, 2011
DOI
10.48550/arxiv.1106.1702