DYNAMIC PORTFOLIO OPTIMIZATION WITH RISK MANAGEMENT AND STRATEGY CONSTRAINTS

被引：0
|
作者：
Krommerova, Csilla [1 ]
Melichercik, Igor [1 ]
机构：
[1] Comenius Univ, Fac Math Phys & Informat, Bratislava 84248, Slovakia
来源：
KYBERNETIKA | 2014年 / 50卷 / 06期
关键词：
power utility maximization; risk management; convex constraints; POWER UTILITY MAXIMIZATION; SELECTION;
D O I：
暂无
中图分类号：
TP3 [计算技术、计算机技术];
学科分类号：
0812 ;
摘要：
We investigate the problem of power utility maximization considering risk management and strategy constraints. The aim of this paper is to obtain admissible dynamic portfolio strategies. In case the floor is guaranteed with probability one, we provide two admissible solutions, the option based portfolio insurance in the constrained model, and the alternative method and show that none of the solutions dominate the other. In case the floor is guaranteed partially, we provide one admissible solution, the portfolio insurance with spreads.
引用
收藏
页码：1032 / 1048
页数：17
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