Risk management with multiple VaR constraints


We study the utility maximization problem under multiple Value-at-Risk constraints, which is particularly important for financial institutions which have to follow short-time VaR-type regulations under somerealistic regulatory... [ view full abstract ]


  1. An Chen (University of Ulm)
  2. Thai Nguyen (University of Ulm)
  3. Mitja Stadje (University of Ulm)

Topic Areas

Asset Allocation , Optimal Investment , Risk Management


TU-P-B2 » Utility Maximization: Opinions, Constraints and Computation (14:30 - Tuesday, 17th July, Beckett 2)

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