The paper derives an approximate optimal stock fraction from a stochastic maximum principle applied to quantile-based return processes with a VaR constraint, but the derivation swaps the median and lower-quantile roles and uses an unjustified diffusion structure.
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Portfolio Optimization Managing Value at Risk under Heavy Tail Return, using Stochastic Maximum Principle
The paper derives an approximate optimal stock fraction from a stochastic maximum principle applied to quantile-based return processes with a VaR constraint, but the derivation swaps the median and lower-quantile roles and uses an unjustified diffusion structure.