Risk Measures and Portfolio Optimization

Journal of Risk and Financial Management

Priscilla Serwaa Nkyira Gambrah¹ 

关键词: risk management;    value-at-risk;    average value-at-risk;    limited expected loss;    geometric Brownian motion;    optimal portfolio strategy;   

DOI  :  10.3390/jrfm7030113

来源: mdpi

【 摘 要 】

In this paper we investigate portfolio optimization under Value at Risk, Average Value at Risk and Limited Expected Loss constraints in a continuous time framework, where stocks follow a geometric Brownian motion. Analytic expressions for Value at Risk, Average Value at Risk and Limited Expected Loss are derived. We solve the problem of minimizing risk measures applied to portfolios. Moreover, the portfolio’s expected return is maximized subject to the aforementioned risk measures. We illustrate the effect of these risk measures on portfolio optimization by using numerical experiments.

【 授权许可】

CC BY   
© 2014 by the authors; licensee MDPI, Basel, Switzerland.