| Title:
|
Dynamic portfolio optimization with risk management and strategy constraints (English) |
| Author:
|
Krommerová, Csilla |
| Author:
|
Melicherčík, Igor |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 (print) |
| ISSN:
|
1805-949X (online) |
| Volume:
|
50 |
| Issue:
|
6 |
| Year:
|
2014 |
| Pages:
|
1032-1048 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
We investigate the problem of power utility maximization considering risk management and strategy constraints. The aim of this paper is to obtain admissible dynamic portfolio strategies. In case the floor is guaranteed with probability one, we provide two admissible solutions, the option based portfolio insurance in the constrained model, and the alternative method and show that none of the solutions dominate the other. In case the floor is guaranteed partially, we provide one admissible solution, the portfolio insurance with spreads. (English) |
| Keyword:
|
power utility maximization |
| Keyword:
|
risk management |
| Keyword:
|
convex constraints |
| MSC:
|
49L20 |
| MSC:
|
60J65 |
| MSC:
|
91G10 |
| MSC:
|
91G20 |
| idZBL:
|
Zbl 06416872 |
| idMR:
|
MR3301784 |
| DOI:
|
10.14736/kyb-2014-6-1032 |
| . |
| Date available:
|
2015-01-13T10:06:37Z |
| Last updated:
|
2016-01-03 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/144121 |
| . |
| Reference:
|
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| Reference:
|
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| Reference:
|
[3] Bertrand, P., Prigent, J.-L.: Portfolio insurance strategies: Obpi versus Cppi..University of CERGY Working Paper No. 2001-30; GREQAM Working Paper (December 2001), available at SSRN: http://ssrn.com/abstract=299688. |
| Reference:
|
[4] Hakansson, N. H.: Optimal investment and consumption strategies under risk for a class of utility functions..Econometrica 38 (1970), 5, 587-607. Zbl 0205.48902, 10.2307/1912196 |
| Reference:
|
[5] Leland, H. E., Rubinstein, M.: The evolution of portfolio insurance..In: The Evolution of Portfolio Insurance (D. L. Lushin, ed.), Wiley Sons, New York 1976. |
| Reference:
|
[6] Leland, H. E., Rubinstein, M.: Replicating options with positions in stock and cash..Financ. Anal. J. 37 (1981), 4, 63-71. 10.2469/faj.v37.n4.63 |
| Reference:
|
[7] Krommerová, Cs.: Expected utility maximization with risk management and strategy constraints..In: Zborník z prvého česko-slovenského workshopu mladých ekonómov (2012), electronic document, pp. 1-21. |
| Reference:
|
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| Reference:
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| Reference:
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[10] Nutz, M.: Power utility maximization in constrained exponential Lévy models..Math. Finance 22 (2012), 4, 690-709. Zbl 1272.91102, MR 2968281, 10.1111/j.1467-9965.2011.00480.x |
| Reference:
|
[11] Nutz, M.: The Bellman equation for power utility maximization with semimartingales..Ann. Appl. Probab. 22 (2012), 1, 363-406. Zbl 1239.91165, MR 2932550, 10.1214/11-AAP776 |
| Reference:
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| Reference:
|
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| Reference:
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| . |
