Dynamic investment portfolio optimization using a Multivariate Merton Model with Correlated Jump Risk

In this paper, we are concerned with the optimization of a dynamic investment portfolio when the securities which follow a multivariate Merton model with dependent jumps are periodically invested and proceed by approximating the Condition-Value-at-Risk (CVaR) by comonotonic bounds and maximize the e...

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Bibliographic Details
Published inarXiv.org
Main Authors Afhami, Bahareh, Rezapour, Mohsen, Madadi, Mohsen, Vahed Maroufy
Format Paper
LanguageEnglish
Published Ithaca Cornell University Library, arXiv.org 22.04.2021
Subjects
Multivariate analysis
Optimization
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Summary:In this paper, we are concerned with the optimization of a dynamic investment portfolio when the securities which follow a multivariate Merton model with dependent jumps are periodically invested and proceed by approximating the Condition-Value-at-Risk (CVaR) by comonotonic bounds and maximize the expected terminal wealth. Numerical studies as well as applications of our results to real datasets are also provided.
ISSN:2331-8422