这是应对利率压力和股市崩盘的最坏方法

IF 1.9 3区工程技术 Q3 MANAGEMENT

IMA Journal of Management Mathematics Pub Date : 2021-06-11 DOI:10.1093/IMAMAN/DPAB019

Marcel Beißer, Leander Geisinger, R. Korn

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引用次数: 0

摘要

在目前的低利率环境下，即使是主权债券也不能被认为是无风险的投资。为了关注这方面，我们引入了一个具有组合压力的最坏情况连续时间投资组合问题，即股票和货币市场账户都可能以其价值不可预测的下降跳跃的形式遭受冲击。我们将最坏情况下的最优投资组合策略描述为一种无差异策略，即约束优化问题的解。我们的结果推广了多资产环境下的现有结果。数值例子证明了在利率冲击存在下的新效应。这些见解可用于存在崩溃风险的风险管理。

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A worst-case approach for interest rate stresses and stock crashes

In the current low interest rate environment even sovereign bonds cannot be considered as risk-free investments. To care for this aspect we introduce a worst-case continuous-time portfolio problem with combined stresses, that is, both stocks and the money market account can experience shocks in the form of unpredictable downward jumps in their values. We characterize the worst-case optimal portfolio strategy as an indifference strategy that is the solution of a constrained optimization problem. Our results generalize existing results in a multi-asset setting. Numerical examples demonstrate new effects in the presence of interest rate shocks. These insights can be used for risk management in the presence of crash risks.

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来源期刊

IMA Journal of Management Mathematics OPERATIONS RESEARCH & MANAGEMENT SCIENCE-MATHEMATICS, INTERDISCIPLINARY APPLICATIONS

CiteScore

4.70

自引率

17.60%

发文量

审稿时长

>12 weeks

期刊介绍： The mission of this quarterly journal is to publish mathematical research of the highest quality, impact and relevance that can be directly utilised or have demonstrable potential to be employed by managers in profit, not-for-profit, third party and governmental/public organisations to improve their practices. Thus the research must be quantitative and of the highest quality if it is to be published in the journal. Furthermore, the outcome of the research must be ultimately useful for managers. The journal also publishes novel meta-analyses of the literature, reviews of the "state-of-the art" in a manner that provides new insight, and genuine applications of mathematics to real-world problems in the form of case studies. The journal welcomes papers dealing with topics in Operational Research and Management Science, Operations Management, Decision Sciences, Transportation Science, Marketing Science, Analytics, and Financial and Risk Modelling.