Solving optimal investment problems with structured products under CVaR constraints

被引：3

作者：

Korn, Ralf ^{[2
,3
]}

Zeytun, Serkan ^{[1
,3
]}

机构：

[1] Middle E Tech Univ, Inst Appl Math, TR-06531 Ankara, Turkey

[2] Univ Kaiserslautern, Dept Math, D-67653 Kaiserslautern, Germany

[3] Univ Kaiserslautern, Fraunhofer Inst Ind Math Kaiserslautern, D-67653 Kaiserslautern, Germany

来源：

OPTIMIZATION | 2009年 / 58卷 / 03期

关键词：

linear optimization; risk measures; linearization of conditional value-at-risk; optimal investment; stochastic processes;

D O I：

10.1080/02331930902741739

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 [运筹学与控制论]; 120117 [社会管理工程];

摘要：

We consider a simple investment problem where besides stocks and bonds the investor can also include options (or structured products) into the investment portfolio. The aim of the investor is to maximize the expected return under a conditional value-at-risk (CVaR) constraint. Due to possible intermediate payments, we have to deal with a re-investment problem which turns the original one-period problem into a multi-period one. For solving this problem, an iterative scheme based on linear optimization is developed.

引用

页码：291 / 304

页数：14

共 7 条

[1]

Coherent measures of risk [J].