MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS
研究了在不完全金融市场中，如何在风险约束（如风险价值、尾部风险价值）下最大化财富增长率，发现最优策略是对无约束Merton组合进行统一缩放，且投资者行为类似常相对风险厌恶。
We investigate the ergodic problem of growth‐rate maximization under a class of risk constraints in the context of incomplete, Itô‐process models of financial markets with random ergodic coefficients. Including value‐at‐risk , tail‐value‐at‐risk , and limited expected loss , 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 constant relative risk aversion (CRRA) investor, with the relative risk‐aversion coefficient depending on the current values of the market coefficients.