- Prof. Claudia Klüppelberg
Center of Mathematical Sciences-Munich University of Technology-Germany - FCUL-DEIO – Bloco C/2-Piso 2 -Sala 2.2.47 – 14:30
- Quarta-feira, 6 de Março de 2002
Abstract
We investigate some portfolio problems that consist of maximizing expected terminal wealth under the constraint of an upper bound for the risk, where we measure risk by Capital-at-Risk (CaR) as an alternative to the variance. For any price process which follows an exponential Lévy process the solution of the mean-variance problem has the same structure. For the mean-CaR problem we make use of an approximation of the Lévy process as a sum of a drift term, a Brownian motion and a compound Poisson process. Certain relations between a Lévy process and its stochastic exponential are investigated.