An Optimal Process for Average Value-at-Risk Portfolios in Financial Management

被引：2
|
作者：
Yoshida, Yuji [1 ]
机构：
[1] Univ Kitakyushu, Fac Econ & Business Adm, 4-2-1 Kitagata, Kitakyushu, Fukuoka 8028577, Japan
来源：
APPLIED PHYSICS, SYSTEM SCIENCE AND COMPUTERS | 2018年 / 428卷
关键词：
Average value-at-risk; Optimal portfolio; Dynamic risk allocation; Risk probability; Bankruptcy; Dynamic programming;
D O I：
10.1007/978-3-319-53934-8_12
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
A dynamic average value-at-risk portfolio model under uncertainty is discussed. At each period analytical solutions for the problem are obtained. By dynamic programming, an optimality equation for optimal average value-at-risks is derived. It is shown that the optimal average value-at-risk portfolios are solutions of the optimality equation.
引用
收藏
页码：101 / 107
页数：7
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