دانلود مقاله ISI انگلیسی شماره 111238
ترجمه فارسی عنوان مقاله

انتخاب نمونه بر اساس یک فرایند معیار با محدودیت های پویای ارزش در معرض خطر

عنوان انگلیسی
Portfolio selection based on a benchmark process with dynamic value-at-risk constraints
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
111238 2017 8 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Computational and Applied Mathematics, Volume 313, 15 March 2017, Pages 440-447

پیش نمایش مقاله
پیش نمایش مقاله  انتخاب نمونه بر اساس یک فرایند معیار با محدودیت های پویای ارزش در معرض خطر

چکیده انگلیسی

Portfolio selection is an essential issue in finance. It studies how to allocate one’s wealth in a basket of securities to maximize the return and minimize the risk. And dynamic portfolio selection based on a benchmark process is one of the most important types. Different from the existing literature, we impose a dynamic risk control on it. As a matter of fact, performing an optimal portfolio strategy in the light of a dynamic portfolio formulation does not eliminate the possibility of an investor going to bankruptcy or even more serious situations in a volatile financial market before the terminal time, so it is reasonable and necessary to impose a dynamic risk control on the instantaneous wealth throughout the investment horizon to ensure that the investment behavior can proceed and we intend to address this interesting issue in this paper. More specifically, we investigate the dynamic portfolio selection problem based on a benchmark process coupled with a dynamic value-at-risk constraint. By stochastic dynamic programming techniques, we derive the corresponding Hamilton–Jacobi–Bellman equation. Moreover, the optimal portfolio strategies are obtained by Lagrange multiplier method. To verify the model, two numerical examples are illustrated. The results show the difference of optimal portfolio strategies with and without the dynamic VaR constraint: the composition of the risky assets is constant but the investment proportion is reduced as the VaR constraint becomes binding. This research can provide a good decision-making reference for risk-averse investors.