Title of article :
Dynamic investment portfolio optimization using a multivariate Merton model with correlated jump risk
Author/Authors :
Afhami, Bahareh Department of Statistics - Faculty of Mathematics and Computer - Shahid Bahonar University of Kerman, Kerman , Rezapour, Mohsen Department of Biostatistics & Data Science - School of Public Health - The University of Texas Health Science Center at Houston (UTHealth), Houston, Texas , Madadi, Mohsen Department of Statistics - Faculty of Mathematics and Computer - Shahid Bahonar University of Kerman, Kerman , Maroufy, Vahed Department of Statistics - Faculty of Mathematics and Computer - Shahid Bahonar University of Kerman, Kerman
Abstract :
In this paper, we are concerned with the optimization of a dynamic investment portfolio when the securities which follow a multivariate Merton model with dependent jumps are periodically invested and proceed by approximating the Condition-Value-at-Risk (CVaR) by comonotonic bounds and maximize the expected terminal wealth. Numerical studies, as well as applications of our results to real datasets, are also provided.
Keywords :
Risk analysis , Conditional tail expectation , Merton Model , Geometric Brownian motion , Comonotonicity
Journal title :
International Journal of Nonlinear Analysis and Applications
