DYNAMIC MEAN-LPM AND MEAN-CVAR PORTFOLIO OPTIMIZATION IN CONTINUOUS-TIME

doi:10.1137/140955264

CORC > 上海财经大学 > 上海财经大学

	DYNAMIC MEAN-LPM AND MEAN-CVAR PORTFOLIO OPTIMIZATION IN CONTINUOUS-TIME
	Gao, Jianjun 1; Zhou, Ke 2; Li, Duan 3; Cao, Xiren 4
刊名	SIAM JOURNAL ON CONTROL AND OPTIMIZATION
	2017
卷号	55 期号:3 页码:1377-1397
关键词	dynamic mean-downside risk portfolio optimization lower-partial moments LPM conditional value-at-risk portfolio CVaR stochastic control martingale approach
ISSN号	0363-0129
DOI	10.1137/140955264
英文摘要	We investigate in this paper dynamic mean-downside risk portfolio optimization problems in continuous-time, where the downside risk measures can be either the lower-partial moments (LPM) or the conditional value-at-risk (CVaR). Our contributions are twofold, both building up tractable formulations and deriving corresponding analytical solutions. By imposing a limit funding level on the terminal wealth, we conquer the ill-posedness exhibited in a class of mean-downside risk portfolio models. For a general market setting, we prove the existence and uniqueness of the Lagrangian multiplies, which is a key step in applying the martingale approach, and establish a theoretical foundation for developing efficient numerical solution approaches. Moreover, for situations where the opportunity set of the market setting is deterministic, we derive analytical portfolio policies for both dynamic mean-LPM and mean-CVaR formulations.
WOS研究方向	Automation & Control Systems ; Mathematics
语种	英语
出版者	SIAM PUBLICATIONS
WOS记录号	WOS:000404771700002
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1094]
专题	上海财经大学
通讯作者	Zhou, Ke
作者单位	1.Shanghai Univ Finance & Econ, Sch Informat Management & Engn, Shanghai, Peoples R China; 2.Hunan Univ, Dept Management Sci, Changsha, Hunan, Peoples R China; 3.Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Hong Kong, Hong Kong, Peoples R China; 4.Shanghai Jiao Tong Univ, Dept Automat, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Gao, Jianjun,Zhou, Ke,Li, Duan,et al. DYNAMIC MEAN-LPM AND MEAN-CVAR PORTFOLIO OPTIMIZATION IN CONTINUOUS-TIME[J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION,2017,55(3):1377-1397.
APA	Gao, Jianjun,Zhou, Ke,Li, Duan,&Cao, Xiren.(2017).DYNAMIC MEAN-LPM AND MEAN-CVAR PORTFOLIO OPTIMIZATION IN CONTINUOUS-TIME.SIAM JOURNAL ON CONTROL AND OPTIMIZATION,55(3),1377-1397.
MLA	Gao, Jianjun,et al."DYNAMIC MEAN-LPM AND MEAN-CVAR PORTFOLIO OPTIMIZATION IN CONTINUOUS-TIME".SIAM JOURNAL ON CONTROL AND OPTIMIZATION 55.3(2017):1377-1397.