Optimal Investment for Worst-Case Crash Scenarios: A Martingale Approach

被引：22
|
作者：
Seifried, Frank Thomas [1 ]
机构：
[1] Univ Kaiserslautern, Dept Math, D-67653 Kaiserslautern, Germany
来源：
MATHEMATICS OF OPERATIONS RESEARCH | 2010年 / 35卷 / 03期
关键词：
optimal investment; worst-case scenario; market crash; indifference strategy; controller-vs-stopper game; PORTFOLIO OPTIMIZATION; TIME; CONSUMPTION; RISK; POLICIES; MARKETS; PRICES;
D O I：
10.1287/moor.1100.0459
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
We investigate the optimal portfolio problem under the threat of a financial market crash in a multidimensional jump-diffusion framework. We set up a nonprobabilistic crash model and consider an investor that seeks to maximize CRRA utility in the worst possible crash scenario. We recast the problem as a stochastic differential game; with the help of the fundamental notion of indifference strategies, we completely solve the portfolio problem using martingale arguments.
引用
收藏
页码：559 / 579
页数：21
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