Dynamic portfolio optimization with bounded shortfall risks

被引：22

作者：

Gabih, A

Grecksch, W

Wunderlich, R

机构：

[1] Westsachs Hsch Zwickau FH, Fachgrp Math, D-08056 Zwickau, Germany

[2] Univ Halle Wittenberg, Fachbereich Math & Informat, Halle Saale, Saale, Germany

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 2005年 / 23卷 / 03期

关键词：

expected loss; Martingale method; portfolio optimization; risk constraints; stochastic optimal control; value at risk;

D O I：

10.1081/SAP-200056690

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We address a dynamic portfolio optimization problem where the expected utility from terminal wealth has to be maximized. The special feature of this paper is an additional constraint on the portfolio strategy modeling bounded shortfall risks, which are measured by value at risk or expected loss. Using a continuous-time model of a complete financial market and applying martingale methods. analytic expressions for the optimal terminal wealth and the optimal portfolio strategies are given. Finally, some numerical results are presented.

引用

页码：579 / 594

页数：16

共 9 条

[1]

[Anonymous], TAG WORKSH STOCH AN

[2] Coherent measures of risk [J].