Dynamic Portfolio Selection with Relative Value at Risk Constraint

被引：0
|
作者：
Wang, Xiuguo [1 ]
机构：
[1] Cent Univ Finance & Econ, Sch Appl Math, Beijing, Peoples R China
来源：
2008 4TH INTERNATIONAL CONFERENCE ON WIRELESS COMMUNICATIONS, NETWORKING AND MOBILE COMPUTING, VOLS 1-31 | 2008年
关键词：
portfolio selection; benchmark; RVaR; Black-Scholes setting; optimal strategies;
D O I：
暂无
中图分类号：
TN [电子技术、通信技术];
学科分类号：
0809 ;
摘要：
A portfolio optimization with downside risk based on benchmark is investigated. The expected relative terminal wealth is maximized under a new risk constraint, RVaR, which is defined by a relative wealth process. In a Black-Scholes setting, stochastic analysis method and nonlinear programming theory are used to obtain explicit solutions of the optimal strategies, which include the riskless asset, revised market portfolio and benchmark portfolio. The results exhibit three-fund separation theorem. Numerical examples are presented.
引用
收藏
页码：9807 / 9810
页数：4
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