Optimal Risk Budgeting under a Finite Investment Horizon
نویسندگان
چکیده
منابع مشابه
Finite Horizon Optimal Investment and Consumption with Transaction Costs
This paper concerns continuous-time optimal investment and consumption decision of a CRRA investor who faces proportional transaction costs and finite time horizon. In the no consumption case, it has been studied by Liu and Loewenstein (2002) and Dai and Yi (2006). Mathematically, it is a singular stochastic control problem whose value function satisfies a parabolic variational inequality with ...
متن کاملRisk Budgeting in Pension Investment
This paper extends the concept of investment efficiency from investment management structures to include strategic asset allocation and liability related issues. The concept of risk budgeting is developed. It represents a valuable way of incorporating risk and return information to produce more efficient investment decisions. Information ratio is a key measurement in the process, and it is conc...
متن کاملOptimal Switching in Finite Horizon under State Constraints
We study an optimal switching problem with a state constraint: the controller is only allowed to choose strategies that keep the controlled diffusion in a closed domain. We prove that the value function associated with this problem is the limit of value functions associated with unconstrained switching problems with penalized coefficients, as the penalization parameter goes to infinity. This co...
متن کاملOptimal investment under multiple defaults risk: a BSDE-decomposition approach
We study an optimal investment problem under contagion risk in a financial model subject to multiple jumps and defaults. The global market information is formulated as progressive enlargement of a default-free Brownian filtration, and the dependence of default times is modelled by a conditional density hypothesis. In this Itô-jump process model, we give a decomposition of the corresponding stoc...
متن کاملOptimal Investment Problems with Uncertain Time Horizon
In this paper we consider an agent on a financial market who can trade with an uncertain time horizon by investing in risky stocks and a risk-free bond. He aims at maximizing the utility he draws from his final wealth measured by some utility function. We obtain a sufficient and necessary condition for the optimality, which gives an explicit expression for the optimal strategies as solutions of...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Risks
سال: 2019
ISSN: 2227-9091
DOI: 10.3390/risks7030086