Dynamic shortfall constraints for optimal portfolios

Autor:	Bernd Luderer, Ralf Wunderlich, Daniel Akume
Jazyk:	English<br />French
Rok vydání:	2010
Předmět:	Portfolio optimization Risk management Dynamic risk constraints Tail Conditional Expectation Mathematics QA1-939
Zdroj:	Surveys in Mathematics and its Applications, Vol 5 (2010), Pp 135-149 (2010)
Druh dokumentu:	article
ISSN:	1843-7265 1842-6298
Popis:	We consider a portfolio problem when a Tail Conditional Expectation constraint is imposed. The financial market is composed of n risky assets driven by geometric Brownian motion and one risk-free asset. The Tail Conditional Expectation is calculated for short intervals of time and imposed as risk constraint dynamically. The method of Lagrange multipliers is combined with the Hamilton-Jacobi-Bellman equation to insert the constraint into the resolution framework. A numerical method is applied to obtain an approximate solution to the problem. We find that the imposition of the Tail Conditional Expectation constraint when risky assets evolve following a log-normal distribution, curbs investment in the risky assets and diverts the wealth to consumption.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/a450dbd4ad4a42778d35b2142e2b3362 Zobrazit plný text záznamu View record in DOAJ