A Decision Process with Portfolios for Value-at-Risks

被引：0
|
作者：
Yoshida, Yuji [1 ]
机构：
[1] Univ Kitakyushu, Fac Econ & Business Adm, Kitakyushu, Fukuoka 8028577, Japan
来源：
PROCEEDINGS OF THE INTERNATIONAL CONFERENCE OF NUMERICAL ANALYSIS AND APPLIED MATHEMATICS 2014 (ICNAAM-2014) | 2015年 / 1648卷
关键词：
Value-at-risk (VaR); portfolio; dynamic risk allocation; the expected rate of return; risk probability; bankruptcy; dynamic programming; MODEL;
D O I：
10.1063/1.4912382
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
A dynamic financial portfolio model with uncertainty is discussed. A dynamic value-at-risk portfolio method is proposed, and the risk criterion is composed by unexpected short-term risks which occur suddenly in each period. Analytical solutions for the VaR portfolio problem are obtained at each period. By dynamic programming approach, we derive an optimality condition for the optimal value-at-risk portfolio in a decision process. It is shown that a dynamic optimal value-atrisk is a solution of the optimality equation under a reasonable assumption, and an optimal trading strategy is obtained from the equation.
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收藏
页数：5
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