具有崩溃风险和模型模糊的最优投资组合选择

IF 0.5 Q4 BUSINESS, FINANCE

International Journal of Theoretical and Applied Finance Pub Date : 2022-02-09 DOI:10.1142/s0219024922500029

R. Korn, Lukas Müller

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引用次数: 1

摘要

在本文中，我们考虑了一个连续时间投资组合优化问题，该问题包含了崩溃场景的可能性以及参数的不确定性。为此，我们将Korn & Wilmott(2002)引入的最坏情况方法与同样基于knight不确定性的模型模糊方法结合起来。在我们的模型中，崩溃场景发生在对投资者来说最糟糕的时间，这也意味着根本不可能发生崩溃。对于参数不确定性的建模，我们选择了可能漂移和波动参数集的一般定义，以优化问题的解为条件。此外，这些组合在崩盘前和崩盘后的市场中可能有所不同。我们解决了这个组合问题，然后考虑了两个特殊的例子，盒子不确定性和椭球漂移模糊。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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OPTIMAL PORTFOLIO CHOICE WITH CRASH RISK AND MODEL AMBIGUITY

In this paper, we consider a continuous time portfolio optimization problem that includes the possibility of a crash scenario as well as parameter uncertainty. To do this, we combine the worst-case scenario approach, introduced by Korn & Wilmott (2002) with a model ambiguity approach that is also based on Knightian uncertainty. In our model, the crash scenario occurs at the worst possible time for the investor, which also implies that there can be no crash at all. For the modeling of the parameter uncertainty, we choose a general definition of the sets of possible drift and volatility parameters, conditioned by the solution of an optimization problem. In addition, these sets may be different in the pre-crash and post-crash market. We solve this portfolio problem and then consider two particular examples with box uncertainty and ellipsoidal drift ambiguity.

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来源期刊

International Journal of Theoretical and Applied Finance BUSINESS, FINANCE-

CiteScore

1.10

自引率

20.00%

发文量

期刊介绍： The shift of the financial market towards the general use of advanced mathematical methods has led to the introduction of state-of-the-art quantitative tools into the world of finance. The International Journal of Theoretical and Applied Finance (IJTAF) brings together international experts involved in the mathematical modelling of financial instruments as well as the application of these models to global financial markets. The development of complex financial products has led to new challenges to the regulatory bodies. Financial instruments that have been designed to serve the needs of the mature capitals market need to be adapted for application in the emerging markets.