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dynamic investment portfolio optimization using a multivariate merton model with correlated jump risk
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نویسنده
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afhami bahareh ,rezapour mohsen ,madadi mohsen ,maroufy vahed
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منبع
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international journal of nonlinear analysis and applications - 2021 - دوره : 12 - شماره : 2 - صفحه:1331 -1341
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چکیده
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in this paper, we are concerned with the optimization of a dynamic investment portfolio when the securities which follow a multivariate merton model with dependent jumps are periodically invested and proceed by approximating the condition-value-at-risk (cvar) by comonotonic bounds and maximize the expected terminal wealth. numerical studies, as well as applications of our results to real datasets, are also provided.
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کلیدواژه
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risk analysis، conditional tail expectation، merton model، geometric brownian motion، comonotonicity
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آدرس
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shahid bahonar university of kerman, faculty of mathematics and computer, department of statistics, iran, university of texas health science center at houston (uthealth), school of public health, department of biostatistics & data science, usa, shahid bahonar university of kerman, faculty of mathematics and computer, department of statistics, iran, university of texas health science center at houston (uthealth), school of public health, department of biostatistics & data science, usa
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پست الکترونیکی
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vahed.maroufy@uth.tmc.edu
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Authors
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