Optimal portfolios under the threat of a crash
By Ralf Korn, P. Wilmott. 2002
46 citations recorded by the source corpus.
We consider the determination of optimal portfolios under the threat of a crash. Our main assumption is that upper bounds for both the crash size and the number of crashes occurring before the time horizon are given. We make no probabilistic assumption on the crash size or the crash time distribution. The optimal strategies in the presence of a crash possibility are characterized by a balance problem between insurance against the crash and good performance in the crash-free situation. Explicit solutions for the log-utility case are given. Our main finding is that constant portfolios are no longer optimal ones.
Subfields: Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/e02f7c0fe9f767a0c4e6d13d27756e2723cafab6
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In Finance
- Stefan Weber
- Alexander Schied
- Hans Föllmer
- Andrzej Ruszczynski
- Alexander Shapiro
- Andreas Tsanakas
- Shige Peng
- Nicole El Karoui
In Management Science and Operations Research
- Alexander Schied
- Stefan Weber
- Hans Föllmer
- Andrzej Ruszczynski
- Alexander Shapiro
- Nicole El Karoui
- Andreas Tsanakas
- Marco Frittelli
Citations in the corpus
- Robust Preferences and Robust Portfolio Choice (2009, methodology): “Under the additional assumption of continuity from above, this representation was obtained in the coherent case by KUSUOKA [2001] and later extended by KUNZE [2003], DANA [2005], FRITTELLI and ROSAZZA-GIANIN [2005], and FÖLLMER and SCHIED [2004, Section 4.”