Dynamic investment portfolio optimization using a multivariate Merton model with correlated jump risk | ||
| International Journal of Nonlinear Analysis and Applications | ||
| دوره 12، شماره 2، بهمن 2021، صفحه 1331-1341 اصل مقاله (500.86 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22075/ijnaa.2021.23421.2538 | ||
| نویسندگان | ||
| Bahareh Afhami1؛ Mohsen Rezapour2؛ Mohsen Madadi* 1؛ Vahed Maroufy2 | ||
| 1Department of Statistics, Faculty of Mathematics and Computer, Shahid Bahonar University of Kerman, Kerman, Iran | ||
| 2Department of Biostatistics \& Data Science, School of Public Health, The University of Texas Health Science Center at Houston (UTHealth), Houston, Texas | ||
| چکیده | ||
| In this paper, we are concerned with the optimization of a dynamic investment portfolio when the securities which follow a multivariate Merton model with dependent jumps are periodically invested and proceed by approximating the Condition-Value-at-Risk (CVaR) by comonotonic bounds and maximize the expected terminal wealth. Numerical studies, as well as applications of our results to real datasets, are also provided. | ||
| کلیدواژهها | ||
| Risk analysis؛ Conditional tail expectation؛ Merton Model؛ Geometric Brownian motion؛ Comonotonicity | ||
| مراجع | ||
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