Time-consistency in managing a commodity portfolio: A dynamic risk measure approach

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.

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SET-VALUED DYNAMIC RISK MEASURES FOR BOUNDED DISCRETE-TIME PROCESSES

International Journal of Theoretical and Applied Finance ◽

10.1142/s021902492050017x ◽

2020 ◽

Vol 23 (03) ◽

pp. 2050017

Author(s):

YANHONG CHEN ◽

YIJUN HU

Keyword(s):

Discrete Time ◽

Value At Risk ◽

Risk Measures ◽

Risk Measure ◽

Dynamic Risk Measures ◽

Time Value Of Money ◽

Average Value ◽

Dynamic Risk ◽

Entropic Risk Measure ◽

Average Value At Risk

In this paper, we study how to evaluate the risk of a financial portfolio, whose components may be dependent and come from different markets or involve more than one kind of currencies, while we also take into consideration the uncertainty about the time value of money. Namely, we introduce a new class of risk measures, named set-valued dynamic risk measures for bounded discrete-time processes that are adapted to a given filtration. The time horizon can be finite or infinite. We investigate the representation results for them by making full use of Legendre–Fenchel conjugation theory for set-valued functions. Finally, some examples such as the set-valued dynamic average value at risk and the entropic risk measure for bounded discrete-time processes are also given.

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A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time

Mathematics of Operations Research ◽

10.1287/moor.2017.0858 ◽

2018 ◽

Vol 43 (1) ◽

pp. 204-221 ◽

Cited By ~ 4

Author(s):

Tomasz R. Bielecki ◽

Igor Cialenco ◽

Marcin Pitera

Keyword(s):

Performance Measures ◽

Discrete Time ◽

Risk Measures ◽

Dynamic Performance ◽

Time Consistency ◽

Unified Approach ◽

Dynamic Risk Measures ◽

Dynamic Risk

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Desistance From Sexual and Other Violent Offending Among Child Sexual Abusers

Criminal Justice and Behavior ◽

10.1177/0093854816670194 ◽

2016 ◽

Vol 44 (3) ◽

pp. 416-431 ◽

Cited By ~ 3

Author(s):

Michael P. Lasher ◽

Robert J. McGrath

Keyword(s):

Sex Offenders ◽

Sex Offender ◽

Risk Measure ◽

Offender Treatment ◽

First Year ◽

Sex Offender Treatment ◽

Community Reentry ◽

Dynamic Risk ◽

Violent Offending ◽

Child Sexual Abusers

Most sex offenders appear to desist from sexual and other violent offending; however, research on this population has historically focused more on the characteristics of individuals who persist offending versus those who desist from offending. The present study examined change patterns of 563 child sexual abusers’ scores on the Sex Offender Treatment Intervention and Progress Scale, a dynamic risk measure, at three points of time over 2 years. Individuals who did versus did not commit a new serious offense, defined as a new sexual or other violent offense, at 5-year follow-up were contrasted. Desisters demonstrated most changes during their first year in treatment, whereas change among persisters more often occurred during their second year in treatment. All classes of offenders made gains in addressing dynamic risk related to sexually specific needs, whereas desisters made significantly greater gains in social stability needs. Findings are discussed in light of treatment dose allocation and community reentry needs.

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