Dmitrasinovic-Vidovic, GordanaLari-Lavassani, AliLi, XunWare, Antony2018-09-272018-09-272010-06-17Gordana Dmitrasinovic-Vidovic, Ali Lari-Lavassani, Xun Li, and Antony Ware, “Continuous Time Portfolio Selection under Conditional Capital at Risk,” Journal of Probability and Statistics, vol. 2010, Article ID 976371, 26 pages, 2010. doi:10.1155/2010/976371http://hdl.handle.net/1880/10846610.11575/PRISM/44687Portfolio 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.Journal Article2018-09-27enCopyright © 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.https://doi.org/10.1155/2010/976371