دانلود مقاله ISI انگلیسی شماره 96578
ترجمه فارسی عنوان مقاله

تقریب کومونوتونیک به مشکلات سرمایه گذاری دوره ای در رانش تصادفی

عنوان انگلیسی
Comonotonic approximation to periodic investment problems under stochastic drift
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
96578 2017 11 صفحه PDF
منبع

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

Journal : European Journal of Operational Research, Volume 262, Issue 1, 1 October 2017, Pages 251-261

پیش نمایش مقاله
پیش نمایش مقاله  تقریب کومونوتونیک به مشکلات سرمایه گذاری دوره ای در رانش تصادفی

چکیده انگلیسی

We investigate periodic investment problems under a Black–Scholes market with stochastic drift. The decision maker invests a series of positive amounts at finitely predetermined time spots, to maximize the expected terminal wealth while controlling its downside risk as measured by the Condition Value at Risk (CVaR). It turns out that the increment for unit wealth on the whole path can be divided into two parts: the increment corresponding to the stochastic drift and that corresponding to the Brownian Motion. A comonotonic approximation is proposed for the second part, and an upper bound is provided for the CVaR of the first part, which construct together a closed-form approximation of the terminal wealth under the risk measure of CVaR. We further decompose the problem into a sequence of sub-problems whose optimal solutions are explicit and follow fractional Kelly Strategy. Numerical and empirical results illustrate the performance of our methodology.