Portfolio Selection under Multivariate Merton Model with Correlated Jump Risk
Statistics Theory
2021-04-22 v1 Applications
Statistics Theory
Abstract
Portfolio selection in the periodic investment of securities modeled by a multivariate Merton model with dependent jumps is considered. The optimization framework is designed to maximize expected terminal wealth when portfolio risk is measured by the Condition-Value-at-Risk (). Solving the portfolio optimization problem by Monte Carlo simulation often requires intensive and time-consuming computation; hence a faster and more efficient portfolio optimization method based on closed-form comonotonic bounds for the risk measure of the terminal wealth is proposed.
Keywords
Cite
@article{arxiv.2104.10240,
title = {Portfolio Selection under Multivariate Merton Model with Correlated Jump Risk},
author = {Bahareh Afhami and Mohsen Rezapour and Mohsen Madadi and Vahed Maroufy},
journal= {arXiv preprint arXiv:2104.10240},
year = {2021}
}