Portfolio optimization managing value at risk under heavy tail return, using stochastic maximum principle
作者： Diganta Mukherjee , Mrinal K. Ghosh , Subhojit Biswas
DOI: 10.1080/07362994.2020.1864405
关键词: Heavy-tailed distribution 、 Hamiltonian system 、 Dynamic programming 、 Portfolio 、 Portfolio optimization 、 Asset (economics) 、 Econometrics 、 Value at risk 、 Mathematics 、 Maximum principle
摘要: We consider an investor whose portfolio consists of a single risky asset and risk free asset. The asset’s return has heavy tailed distribution thus does not have higher order moments....
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