Fraunhofer-Gesellschaft

Publica

Hier finden Sie wissenschaftliche Publikationen aus den Fraunhofer-Instituten.

Worst-case portfolio optimization in discrete time

 
: Chen, L.; Korn, R.

:

Mathematical methods of operations research (2019), Online First, 31 S.
ISSN: 1432-2994
ISSN: 0340-9422
Englisch
Zeitschriftenaufsatz
Fraunhofer ITWM ()

Abstract
We consider discrete-time portfolio problems of an investor when taking the possibility of market crashes into account. In the case of the logarithmic utility function, we construct the worst-case optimal portfolio strategy by an indifference principle. Then, we extend the setting to general utility functions and derive the worst-case optimal portfolio processes via the characterization by a dynamic programming equation. Furthermore, we numerically examine the convergence behavior of the discrete-time worst-case optimal portfolio processes for the choice of popular utility functions when the time between two possible price changes tends to zero.

: http://publica.fraunhofer.de/dokumente/N-558983.html