Expected utility maximization and conditional value-at-risk deviation-based Sharpe ratio in dynamic stochastic portfolio optimization.

Autor:	Kilianová, Soňa
Další autoři:	Ševčovič, Daniel
Jazyk:	angličtina
Předmět:	Hamiltonovy rovnice Hamilton's equations články journal articles Hamilton-Jacobi-Bellman equation dynamic stochastic portfolio optimization Conditional value-at-risk CVaRDCVaRD -based Sharpe ratio
Druh dokumentu:	Non-fiction
ISSN:	0023-5954
Abstrakt:	Abstract: In this paper we investigate the expected terminal utility maximization approach for a dynamic stochastic portfolio optimization problem. We solve it numerically by solving an evolutionary Hamilton-Jacobi-Bellman equation which is transformed by means of the Riccati transformation. We examine the dependence of the results on the shape of a chosen utility function in regard to the associated risk aversion level. We define the Conditional value-at-risk deviation (CVaRDCVaRD) based Sharpe ratio for measuring risk-adjusted performance of a dynamic portfolio. We compute optimal strategies for a portfolio investment problem motivated by the German DAX 30 Index and we evaluate and analyze the dependence of the CVaRDCVaRD-based Sharpe ratio on the utility function and the associated risk aversion level.
Databáze:	Katalog Knihovny AV ČR
Externí odkaz:	Plný text