动态风险约束下的投资组合优化:连续与离散时间交易

IF 1.3 Q2 STATISTICS & PROBABILITY
I. Redeker, R. Wunderlich
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引用次数: 4

摘要

摘要考虑一个投资者面临一个经典的投资组合问题,即对对数布朗股票和固定利率债券进行最优投资,但必须选择能够降低动态短缺风险度量的投资组合策略和消费策略。对于连续时间和离散时间金融市场,我们研究了强加动态风险约束导致的中间消费和终端财富的预期效用损失。我们导出了随机最优控制问题的动态规划方程,并对其进行了数值求解。我们的数值结果表明,投资组合的业绩损失不会太大,而风险明显降低。然后,我们研究了时间离散化效应,发现强加风险约束导致的投资组合绩效损失通常大于不频繁交易造成的损失。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Portfolio optimization under dynamic risk constraints: Continuous vs. discrete time trading
Abstract We 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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来源期刊
Statistics & Risk Modeling
Statistics & Risk Modeling STATISTICS & PROBABILITY-
CiteScore
1.80
自引率
6.70%
发文量
6
期刊介绍: Statistics & Risk Modeling (STRM) aims at covering modern methods of statistics and probabilistic modeling, and their applications to risk management in finance, insurance and related areas. The journal also welcomes articles related to nonparametric statistical methods and stochastic processes. Papers on innovative applications of statistical modeling and inference in risk management are also encouraged. Topics Statistical analysis for models in finance and insurance Credit-, market- and operational risk models Models for systemic risk Risk management Nonparametric statistical inference Statistical analysis of stochastic processes Stochastics in finance and insurance Decision making under uncertainty.
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