Title :
Dynamic Portfolio Selection with Relative Value at Risk Constraint
Author_Institution :
Sch. of Appl. Math., Central Univ. of Finance & Econ., Beijing
Abstract :
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.
Keywords :
investment; optimisation; risk management; stochastic processes; Black-Scholes setting; RVaR; dynamic portfolio selection; nonlinear programming; portfolio optimization; relative value-at-risk constraint; relative wealth process; stochastic analysis method; Asset management; Constraint optimization; Finance; Financial management; Investments; Mathematics; Portfolios; Risk analysis; Stochastic processes; Utility theory;
Conference_Titel :
Wireless Communications, Networking and Mobile Computing, 2008. WiCOM '08. 4th International Conference on
Conference_Location :
Dalian
Print_ISBN :
978-1-4244-2107-7
Electronic_ISBN :
978-1-4244-2108-4
DOI :
10.1109/WiCom.2008.2288
