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Dynamic portfolio selection with process control
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DOI：10.1016/j.jbankfin.2005.04.002.png)
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The risk inherent in the accumulation of investment capital depends on the true return distributions of the risky assets, the accuracy of estimated returns, and the investment strategy. This paper considers risk control with Value-at-Risk and Conditional Value-at-Risk, using control limits to determine times for portfolio rebalancing. Optimal strategies and control limits are determined for a geometric Brownian motion asset pricing model with random parameters. The approaches to risk control are applied to the fundamental problem of investment in stocks, bonds, and cash over time. (c) 2005 Elsevier B.V. All rights reserved.
Keyword:
dynamic portfolio selection
process control
fractional Kelly strategy
growth and security
risk control strategies
value-at-risk
conditional value-at-risk
期刊
J
IF:
3.8
论文数:
6.4K
被引数:
2.4W
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