2000 character limit reached
Dynamic investment portfolio optimization using a Multivariate Merton Model with Correlated Jump Risk (2104.11594v1)
Published 22 Apr 2021 in q-fin.PM, stat.AP, and stat.CO
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.
Collections
Sign up for free to add this paper to one or more collections.
Paper Prompts
Sign up for free to create and run prompts on this paper using GPT-5.