Learn More
Portfolio optimization under downside risk while preserving the upside is of crucial importance to asset managers. In the Black-Scholes setting, we consider one such particular measure given by the notion of capital-at-risk. This paper generalizes the work of Emmer et al., 2001, to the case of time dependent parameters and investment strategies, i.e.,(More)
Copyright q 2010 Gordana Dmitrasinovic-Vidovic et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. Portfolio optimization with respect to different risk measures is of interest to both(More)
This paper investigates generic bifurcations from a D m-invariant equilibrium of a D m-symmetric dynamical system, for m = 3 or 4, near points of codimension-2 steady-state mode interactions. The center manifold is isomorphic to IR 3 or IR 4 and is non-irreducible. Depending on the group representation, in the unfolding of the linearization we nd:(More)
  • 1