Portfolio Selection under Multivariate Merton Model with Correlated Jump Risk

• Published in: arXiv.org
• Main Authors: Afhami, Bahareh, Rezapour, Mohsen, Madadi, Mohsen, Vahed Maroufy
• Format: Paper
• Language: English
• Published: Ithaca Cornell University Library, arXiv.org 20.04.2021
• Subjects: Monte Carlo simulation; Multivariate analysis; Optimization; Risk

Portfolio selection in the periodic investment of securities modeled by a multivariate Merton model with dependent jumps is considered. The optimization framework is designed to maximize expected terminal wealth when portfolio risk is measured by the Condition-Value-at-Risk (\(CVaR\)). Solving the p...