Dynamic mean-VaR portfolio selection in continuous time

doi:10.1080/14697688.2017.1298831

CORC > 上海财经大学 > 上海财经大学

	Dynamic mean-VaR portfolio selection in continuous time
	Zhou, Ke 1; Gao, Jiangjun 2; Li, Duan 3; Cui, Xiangyu 4
刊名	QUANTITATIVE FINANCE
	2017
卷号	17 期号:10 页码:1631-1643
关键词	Continuous time models Martingales Portfolio optimization Risk management Value at risk G11 C61
ISSN号	1469-7688
DOI	10.1080/14697688.2017.1298831
英文摘要	The value-at-risk (VaR) is one of the most well-known downside risk measures due to its intuitive meaning and wide spectra of applications in practice. In this paper, we investigate the dynamic mean-VaR portfolio selection formulation in continuous time, while the majority of the current literature on mean-VaR portfolio selection mainly focuses on its static versions. Our contributions are twofold, in both building up a tractable formulation and deriving the corresponding optimal portfolio policy. By imposing a limit funding level on the terminal wealth, we conquer the ill-posedness exhibited in the original dynamic mean-VaR portfolio formulation. To overcome the difficulties arising from the VaR constraint and no bankruptcy constraint, we have combined the martingale approach with the quantile optimization technique in our solution framework to derive the optimal portfolio policy. In particular, we have characterized the condition for the existence of the Lagrange multiplier. When the opportunity set of the market setting is deterministic, the portfolio policy becomes analytical. Furthermore, the limit funding level not only enables us to solve the dynamic mean-VaR portfolio selection problem, but also offers a flexibility to tame the aggressiveness of the portfolio policy.
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
语种	英语
出版者	ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
WOS记录号	WOS:000410906800012
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1085]
专题	上海财经大学
通讯作者	Gao, Jiangjun
作者单位	1.Hunan Univ, Sch Business Adm, Changsha, Hunan, Peoples R China; 2.Shanghai Univ Finance & Econ, Sch Informat Management & Engn, Shanghai, Peoples R China; 3.Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Shatin, Hong Kong, Peoples R China; 4.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Zhou, Ke,Gao, Jiangjun,Li, Duan,et al. Dynamic mean-VaR portfolio selection in continuous time[J]. QUANTITATIVE FINANCE,2017,17(10):1631-1643.
APA	Zhou, Ke,Gao, Jiangjun,Li, Duan,&Cui, Xiangyu.(2017).Dynamic mean-VaR portfolio selection in continuous time.QUANTITATIVE FINANCE,17(10),1631-1643.
MLA	Zhou, Ke,et al."Dynamic mean-VaR portfolio selection in continuous time".QUANTITATIVE FINANCE 17.10(2017):1631-1643.