A Dynamic Risk Allocation of Value-at-Risks with Portfolios-Reference-Cited by-同舟云学术

A Dynamic Risk Allocation of Value-at-Risks with Portfolios

Published:2012-11-20 Issue:7 Volume:16 Page:800-806
ISSN:1883-8014
Container-title:Journal of Advanced Computational Intelligence and Intelligent Informatics
language:en
Short-container-title:JACIII

Author:

Yoshida Yuji,

Abstract

A mathematical dynamic portfolio model with uncertainty is discussed by use of value-at-risks. The risk criterion is composed by the sum of unexpected shortterm risks which occur suddenly in each period. By dynamic programming approach, we derive an optimality condition for the optimal value-at-risk portfolio in a stochastic decision process. It is shown that the optimal value-at-risk is a solution of the optimality equation under a reasonable assumption, and an optimal trading strategy is obtained from the equation. A numerical example is given to illustrate our idea.

Publisher

Fuji Technology Press Ltd.

Subject

Artificial Intelligence,Computer Vision and Pattern Recognition,Human-Computer Interaction

Reference13 articles.

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3. S.M. Ross, “An Introduction toMathematical Finance,” Cambridge Univ. Press, Cambridge, 1999.

4. M. C. Steinbach, “Markowitz revisited: Mean-variance model in financial portfolio analysis,” SIAM Review, Vol.43, pp. 31-85, 2001.

5. P. Jorion, “Value at Risk: The New Benchmark for Managing Financial Risk,” (Third Ed.) McGraw-Hill, New York, 2006.

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