Multistage portfolio optimization with risk premium contraints
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F15%3A10313831" target="_blank" >RIV/00216208:11320/15:10313831 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Multistage portfolio optimization with risk premium contraints
Original language description
A multistage stochastic optimization is a tool which enables to manage portfolio in constantly changing financial markets by periodically re-balancing its structure in order to achieve desired target. This paper presents a decision-making process where the objective function is to maximize investor's expected utility over a finite time horizon, namely we consider a class of non- separable multivariate utility functions. Features of utility functions already contain the information on investor's risk attitude thus basically no risk con- straints are necessary. However, the solution cannot guarantee that the investor does not find herself in an undesirably risky position within the investment horizon. We therefore suggest a reformulation of the underlying problem by adding an extra constraint on an upper bound of risk premiums. The performance of the suggested model is demonstrated by optimizing the allocation of wealth at each time instance to two different assets one of which is assume
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of 33rd International Conference Mathematical Methods in Economics
ISBN
978-80-261-0539-8
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
635-640
Publisher name
University of West Bohemia
Place of publication
Plzeň
Event location
Cheb
Event date
Sep 9, 2015
Type of event by nationality
CST - Celostátní akce
UT code for WoS article
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