Robust worst-case optimal investment

被引：0
|
作者：
Sascha Desmettre
Ralf Korn
Peter Ruckdeschel
Frank Thomas Seifried
机构：
[1] Fraunhofer Institute for Industrial Mathematics,Department of Financial Mathematics
[2] University of Kaiserslautern,Department of Mathematics
来源：
OR Spectrum | 2015年 / 37卷
关键词：
Worst case; Crash scenario; Robust optimization ; Knightian uncertainty; Efficiency; Min–max approach; 93E20; 91G10; 62C20; 62P05;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Based on a robustness concept adapted from mathematical statistics, we investigate robust optimal investment strategies for worst-case crash scenarios when the maximum crash height is not known a priori. We specify an efficiency criterion in terms of the certainty equivalents of optimal terminal wealth and explicitly solve the investor’s portfolio problem for CRRA risk preferences. We also study the behavior of the minimax crash height and the efficiency of the associated strategies in the limiting case of infinitely many crashes.
引用
收藏
页码：677 / 701
页数：24
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