Risk-constrained dynamic portfolio management

---

Atıf İçin Kopyala

Akume D., Weber G.

Dynamics of Continuous, Discrete and Impulsive Systems Series B: Applications and Algorithms, cilt.17, sa.1, ss.113-129, 2010 (Scopus)

• Yayın Türü: Makale / Tam Makale
• Cilt numarası: 17 Sayı: 1
• Basım Tarihi: 2010
• Dergi Adı: Dynamics of Continuous, Discrete and Impulsive Systems Series B: Applications and Algorithms
• Derginin Tarandığı İndeksler: Scopus
• Sayfa Sayıları: ss.113-129
• Anahtar Kelimeler: Portfolio optimization, Power utility, Risk management, Tail conditional expectation, Value-at-risk
• Orta Doğu Teknik Üniversitesi Adresli: Evet

Özet

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 derived, re-calculated at short intervals of time and imposed continuously. 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. Copyright © 2010 Watam Press.