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