Distribution of Bankruptcy Time in a Consumption/Portfolio Problem

1997 ◽  
pp. 145-154
Author(s):  
E. L. Presman
Keyword(s):  
Portfolio Problem

scholarly journals Portfolio optimization under dynamic risk constraints: Continuous vs. discrete time trading

2018 ◽  
Vol 35 (1-2) ◽  
pp. 1-21
Author(s):  
Imke Redeker ◽  
Ralf Wunderlich
Keyword(s):  
Discrete Time ◽  
Risk Measure ◽  
Time Discretization ◽  
Optimal Investment ◽  
Portfolio Performance ◽  
Dynamic Risk ◽  
Portfolio Problem ◽  
Risk Constraint ◽  
Infrequent Trading ◽  
Dynamic Programming Equations

AbstractWe consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies that reduce a dynamic shortfall risk measure. For continuous- and discrete-time financial markets we investigate the loss in expected utility of intermediate consumption and terminal wealth caused by imposing a dynamic risk constraint. We derive the dynamic programming equations for the resulting stochastic optimal control problems and solve them numerically. Our numerical results indicate that the loss of portfolio performance is not too large while the risk is notably reduced. We then investigate time discretization effects and find that the loss of portfolio performance resulting from imposing a risk constraint is typically bigger than the loss resulting from infrequent trading.

Value at Risk for the portfolio problem with copulas

2019 ◽  
pp. 371-376
Author(s):  
A.M.M. Barreto ◽  
N. Ishimura ◽  
Y. Yoshizawa
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Portfolio Problem

scholarly journals Hybrid Imperialist Competitive Evolutionary Algorithm for Solving Biobjective Portfolio Problem

2020 ◽  
Vol 26 (4) ◽  
pp. 1477-1492
Author(s):  
Chun’an Liu ◽  
Qian Lei ◽  
Huamin Jia
Keyword(s):  
Evolutionary Algorithm ◽  
Portfolio Problem

Inverse portfolio problem with mean-deviation model

2014 ◽  
Vol 234 (2) ◽  
pp. 481-490 ◽  
Author(s):  
Bogdan Grechuk ◽  
Michael Zabarankin
Keyword(s):  
Mean Deviation ◽  
Portfolio Problem

scholarly journals Risk-averse Merton’s Portfolio Problem

2016 ◽  
Vol 49 (8) ◽  
pp. 266-271
Author(s):  
Laurent Pfeiffer
Keyword(s):  
Risk Averse ◽  
Portfolio Problem ◽  
Merton’S Portfolio
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