摘要翻译：
本文研究了在交易策略的动态风险约束下，具有CRRA（常数，相对风险厌恶）偏好的最优投资问题。所考虑的市场模型在时间上是连续的，是不完全的。金融资产的价格是由IT过程建模的。动态风险约束是由风险度量生成的，具有时间和状态依赖性。最优交易策略用二次BSDE来表征。在\textIt{时间一致扭曲风险度量}类内，建立了三基金分离结果。数值结果强调了对交易施加风险约束的影响。
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英文标题：
《CRRA Utility Maximization under Risk Constraints》
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作者：
Santiago Moreno-Bromberg and Traian Pirvu and Anthony R\'eveillac
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最新提交年份：
2012
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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：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：
  This paper studies the problem of optimal investment with CRRA (constant, relative risk aversion) preferences, subject to dynamic risk constraints on trading strategies. The market model considered is continuous in time and incomplete. the prices of financial assets are modeled by It\^o processes. The dynamic risk constraints, which are time and state dependent, are generated by risk measures. Optimal trading strategies are characterized by a quadratic BSDE. Within the class of \textit{time consistent distortion risk measures}, a three-fund separation result is established. Numerical results emphasize the effects of imposing risk constraints on trading.
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PDF链接：
https://arxiv.org/pdf/1106.1702