Dynamic investment portfolio optimization using a Multivariate Merton Model with Correlated Jump Risk
Portfolio Management
2021-04-26 v1 Applications
Computation
Abstract
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.
Keywords
Cite
@article{arxiv.2104.11594,
title = {Dynamic investment portfolio optimization using a Multivariate Merton Model with Correlated Jump Risk},
author = {Bahareh Afhami and Mohsen Rezapour and Mohsen Madadi and Vahed Maroufy},
journal= {arXiv preprint arXiv:2104.11594},
year = {2021}
}