Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Portfolio Optimization Managing Value at Risk under Heavy Tail Return,
  using Stochastic Maximum Principle   We consider an investor, whose portfolio consists of a single risky asset and
a risk free asset, who wants to maximize his expected utility of the portfolio
subject to managing the Value at Risk (VaR) assuming a heavy tailed
distribution of the stock prices return. We use a stochastic maximum principle
to formulate the dynamic optimisation problem. The equations which we obtain
does not have any explicit analytical solution, so we look for accurate
approximations to estimate the value function and optimal strategy. As our
calibration strategy is non-parametric in nature, no prior knowledge on the
form of the distribution function is needed. We also provide detailed empirical
illustration using real life data. Our results show close concordance with
financial intuition.We expect that our results will add to the arsenal of the
high frequency traders.

12
The categories of this paper are: nucl-th
37
The categories of this paper are: supr-con
26
The categories of this paper are: bayes-an
34
The categories of this paper are: chem-ph
31
The categories of this paper are: ao-sci
6
The categories of this paper are: astro-ph
7
The categories of this paper are: hep-th
14
The categories of this paper are: math-ph
36
The categories of this paper are: cmp-lg
20
The categories of this paper are: acc-phys
28
The categories of this paper are: alg-geom
8
The categories of this paper are: hep-ex
30
The categories of this paper are: q-alg
35
The categories of this paper are: mtrl-th
9
The categories of this paper are: nlin
33
The categories of this paper are: plasm-ph