摘要翻译：
在具有随机遍历系数的金融市场不完全过程模型的背景下，研究了一类风险约束下的增长率最大化遍历问题。包括{\em风险值}(VaR)、{\em尾部风险值}(TVaR)和{\em有限预期损失}(LEL),这些约束既可以是财富相关的（相对的）约束，也可以是财富独立的（绝对的）约束。证明了最优策略存在于一个适当的容许类中，并且可以通过对无约束（Merton）最优投资组合进行一致的、状态相关的缩放得到最优策略。这意味着风险约束财富增长优化者在局部表现为CRRA投资者，相对风险厌恶系数依赖于市场系数的当前值。
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英文标题：
《Maximizing the Growth Rate under Risk Constraints》
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作者：
Traian A. Pirvu, Gordan Zitkovic
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最新提交年份：
2007
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  We investigate the ergodic problem of growth-rate maximization under a class of risk constraints in the context of incomplete, It\^{o}-process models of financial markets with random ergodic coefficients. Including {\em value-at-risk} (VaR), {\em tail-value-at-risk} (TVaR), and {\em limited expected loss} (LEL), 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 can be obtained explicitly by uniform, state-dependent scaling down of the unconstrained (Merton) optimal portfolio. This implies that the risk-constrained wealth-growth optimizer locally behaves like a CRRA-investor, with the relative risk-aversion coefficient depending on the current values of the market coefficients.
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PDF链接：
https://arxiv.org/pdf/0706.0480