We impose dynamically, a shortfall constraint in terms of Tail Conditional Expectation on the portfolio selection problem in continuous time, in order to obtain optimal strategies. The financial market is composed of n risky assets driven by geometric Brownian motion and one risk-free asset. The method of Lagrange multipliers is combined with the Hamilton-Jacobi-Bellman equation to insert the constraint into the resolution framework. The constraint is re-calculated at short intervals of time throughout the investment horizon. A numerical method is applied to obtain an approximate solution to the problem. We find that the imposition of the constraint curbs investment in the risky assets.

**Author (s) Details
**

**Daniel Akume**

Department of Computer Science, University of Buea, P.O. Box 63, Buea, Cameroon.

**Bernd Luderer
**Faculty of Mathematics, Chemnitz University of Technology, P.O. Box 964, Chemnitz, 09107, Germany.

**Ralf Wunderlich
**Department of Mathematics, Zwickau University of Applied Sciences, P.O. Box 201037, Zwickau, 08012, Germany.

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