南方科技大学知识苑(SUSTech KC): Precommitted Strategies with Initial-Time and Intermediate-Time Value-at-Risk Constraints

题名	Precommitted Strategies with Initial-Time and Intermediate-Time Value-at-Risk Constraints
作者	Wu, Chufang 1; Gu, Jia-Wen2 ; Ching, Wai-Ki 3; Wong, Chi-Wing 3
通讯作者	Gu, Jia-Wen
发表日期	2024-09-01
DOI	10.1007/s10957-024-02537-9
发表期刊	JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS 影响因子和分区
ISSN	0022-3239
EISSN	1573-2878
摘要	This paper considers the expected utility portfolio optimization problem with initial-time and intermediate-time Value-at-Risk constraints on terminal wealth. We derive the closed-form solutions which are optimal among all feasible controls at initial time, i.e., precommitted strategies. Moreover, the precommitted strategies are also optimal at the intermediate time for "bad" market states. A contingent claim on Merton's portfolio is constructed to replicate the optimal portfolio. We find that risk management with intermediate-time risk constraints is prudent in hedging "bad" intermediate market states and performs significantly better than the one terminal-wealth risk constraint solutions under the relative loss ratio measure.
关键词	Portfolio optimization Expected utility maximization Intermediate-time risk measure Precommitted strategy Value-at-Risk Pro-cyclicality Compound options.
相关链接	[来源记录]
收录类别	SCI
语种	英语
学校署名	通讯
资助项目	NSFC[11801262] ; Guangdong Basic and Applied Basic Research Foundation[2023A1515030197] ; Shenzhen Humanities & Social Sciences Key Research Bases, Hong Kong Research Grants Council[17309522]
WOS研究方向	Operations Research & Management Science ; Mathematics
WOS类目	Operations Research & Management Science ; Mathematics, Applied
WOS记录号	WOS:001321469700001
出版者	SPRINGER/PLENUM PUBLISHERS
来源库	Web of Science
引用统计
成果类型	期刊论文
条目标识符	http://sustech.caswiz.com/handle/2SGJ60CL/834290
专题	理学院_数学系
作者单位	1.Shenzhen Polytech Univ, Inst Appl Math, Tech X Acad, Shenzhen 518055, Peoples R China 2.Southern Univ Sci & Technol, Dept Math, Shenzhen, Peoples R China 3.Univ Hong Kong, Dept Math, Pokfulam Rd, Hong Kong, Peoples R China
通讯作者单位	数学系
推荐引用方式 GB/T 7714	Wu, Chufang,Gu, Jia-Wen,Ching, Wai-Ki,et al. Precommitted Strategies with Initial-Time and Intermediate-Time Value-at-Risk Constraints[J]. JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS,2024.
APA	Wu, Chufang,Gu, Jia-Wen,Ching, Wai-Ki,&Wong, Chi-Wing.(2024).Precommitted Strategies with Initial-Time and Intermediate-Time Value-at-Risk Constraints.JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS.
MLA	Wu, Chufang,et al."Precommitted Strategies with Initial-Time and Intermediate-Time Value-at-Risk Constraints".JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS (2024).