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 expected terminal wealth‎. ‎Numerical studies‎, ‎as well as applications of our results to real datasets‎, ‎are also provided‎.

Dynamic investment portfolio optimization using a multivariate Merton model with correlated jump risk Keywords:

‎Risk analysis‎ , ‎Conditional tail expectation‎ , ‎Merton Model‎ , ‎Geometric Brownian motion‎ , ‎Comonotonicity

Dynamic investment portfolio optimization using a multivariate Merton model with correlated jump risk authors

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Department of Statistics, Faculty of Mathematics and Computer, Shahid Bahonar University of Kerman, Kerman, Iran

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Department of Biostatistics & Data Science, School of Public Health, The University of Texas Health Science Center at Houston (UTHealth), Houston, Texas

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Department of Statistics, Faculty of Mathematics and Computer, Shahid Bahonar University of Kerman, Kerman, Iran

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Department of Biostatistics & Data Science, School of Public Health, The University of Texas Health Science Center at Houston (UTHealth), Houston, Texas

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Link to this Paper:

https://civilica.com/doc/1561182

Document National Code:

JR_IJNAA-12-2_102

Index date: 2 December 2022

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Ranking of Shahid Bahonar University

Type of center: دانشگاه دولتی

Paper count: 23,671

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