MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS

We investigate the ergodic problem of growth‐rate maximization under a class of risk constraints in the context of incomplete, Itô‐process models of financial markets with random ergodic coefficients. Including value‐at‐risk , tail‐value‐at‐risk , and limited expected loss , these constraints can be both wealth‐dependent (relative) and wealth‐independent (absolute). The optimal policy is shown to exist in an appropriate admissibility class, and …