|edoc-Server der Humboldt-Universität zu Berlin|
Yonggan Zhao, University of British Columbia|
William T. Ziemba, University of British Columbia
|Title:||Determining risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control in the presence of trading frictions|
|Date of Acceptance:||13.06.2000|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Complete Preprint:||pdf (urn:nbn:de:kobv:11-10057665)|
|Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.||Endnote Bibtex|
|print on demand: If you click on this icon you can order a print copy of this publication.|
|Diese Seite taggen: These icons lead to social bookmarking systems where you can create and manage personal bookmarks and discover bookmakrs of other users.|
|This paper develops an approximate method for solving multiperiod utility maximization investment models with downside risk control characterized by the minimum attainable wealth among all possible scenarios. The stochastic control problem is decomposed into two subproblems: one is a static model identifying an " ideal" terminal wealth; and the other replicates the identified optimal portfolio by minimizing the downside replication deviation. The replicating portfolio coincides with the optimal solution to the investor's utility maximization problem for a market having general market asset return models. Multiperiod stochastic linear programming methodology yields an efficient test for the existence of arbitrage opportunities and for implementing the portfolio replication process. Instead of solving a dual programming model of a large scale stochastic linear programming for the required risk neutral probability, we decompose the problem to a sequence of deterministic linear programming models that characterize the conditional risk neutral probability at each node of a scenario. A numerical example illustrates the difference between the replicating result and the ideal portfolio, which statistically shows that including constraints can improve portfolio performance.|
These data concerning access statistics for individual documents
have been compiled using the webserver log files aggregated by AWSTATS.
They refer to a monthly access count to the full text documents as well as to the entry page.
As for format versions of a document which consist of multiple files (such as HTML) the highest monthly access number to one of the files (chapters) is shown respectivly.
To see the detailled access numbers please move the mouse pointer over the single bars of the digaram.
Gesamtzahl der Zugriffe seit Jul 2011: