Journal of Probability and Statistics
Volume 2010 (2010), Article ID 976371, 26 pages
Research Article

Continuous Time Portfolio Selection under Conditional Capital at Risk

The Mathematical and Computational Finance Laboratory, University of Calgary, Calgary, AB, T2N 1N4, Canada

Received 29 October 2009; Revised 4 February 2010; Accepted 26 March 2010

Academic Editor: Ričardas Zitikis

Copyright © 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 practitioners and academics. For there to be a well-defined optimal portfolio, it is important that the risk measure be coherent and quasiconvex with respect to the proportion invested in risky assets. In this paper we investigate one such measure—conditional capital at risk—and find the optimal strategies under this measure, in the Black-Scholes continuous time setting, with time dependent coefficients.