Multistage portfolio optimization with risk premium contraints

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Multistage portfolio optimization with risk premium contraints

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Multistage portfolio optimization with risk premium contraints

Popis výsledku anglicky

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

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2015

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

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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Počet stran výsledku

6

Strana od-do

635-640

Název nakladatele

University of West Bohemia

Místo vydání

Plzeň

Místo konání akce

Cheb

Datum konání akce

9. 9. 2015

Typ akce podle státní příslušnosti

CST - Celostátní akce

Kód UT WoS článku

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