51. Dynamic Mean–Variance Portfolio Optimization with Value-at-Risk Constraint in Continuous Time.
- Author
-
Wang, Tongyao, Pan, Qitong, Wu, Weiping, Gao, Jianjun, and Zhou, Ke
- Subjects
PORTFOLIO management (Investments) ,VALUE at risk ,MATHEMATICAL optimization ,DYNAMIC models ,MARTINGALES (Mathematics) - Abstract
Recognizing the importance of incorporating different risk measures in the portfolio management model, this paper examines the dynamic mean-risk portfolio optimization problem using both variance and value at risk (VaR) as risk measures. By employing the martingale approach and integrating the quantile optimization technique, we provide a solution framework for this problem. We demonstrate that, under a general market setting, the optimal terminal wealth may exhibit different patterns. When the market parameters are deterministic, we derive the closed-form solution for this problem. Examples are provided to illustrate the solution procedure of our method and demonstrate the benefits of our dynamic portfolio model compared to its static counterpart. [ABSTRACT FROM AUTHOR]
- Published
- 2024
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