Dynamic Mean-Downside Risk Portfolio Selection Problem with Stochastic Interest Rate in Continuous-Time

2021 ◽  
Author(s):  
weiping wu ◽  
Ke Zhou ◽  
Zhicheng Li ◽  
zhenpeng tang
Keyword(s):  
Interest Rate ◽  
Portfolio Selection ◽  
Continuous Time ◽  
Downside Risk ◽  
Selection Problem ◽  
Stochastic Interest Rate ◽  
Portfolio Selection Problem ◽  
Stochastic Interest

A DOWNSIDE RISK APPROACH FOR THE PORTFOLIO SELECTION PROBLEM WITH FUZZY RETURNS

2004 ◽  
Vol 09 (01) ◽  
Author(s):  
Teresa León ◽  
Vicente Liern ◽  
Paulina Marco ◽  
Enriqueta Vercher ◽  
José Vicente Segura
Keyword(s):  
Portfolio Selection ◽  
Downside Risk ◽  
Selection Problem ◽  
Portfolio Selection Problem ◽  
Risk Approach

scholarly journals An Optimal Transaction Intervals for Portfolio Selection Problem with Bullet Transaction Cost

2017 ◽  
Author(s):  
SYAHRIL
Keyword(s):  
Interest Rate ◽  
Control Problem ◽  
Transaction Cost ◽  
Portfolio Selection ◽  
Continuous Time ◽  
Investment Decision ◽  
Risky Asset ◽  
Selection Problem ◽  
Transactions Costs ◽  
Time Control

This paper discusses an optimal transaction interval for a consumption and investment decision problemfor an~individual who has available a~risklessasset paying fixed interest rate and a~risky asset driven byBrownian motion price fluctuations.The individual observes current wealth when making transactions, that transactions incur costs,and that decisions to transact can be made at any time based on all current information.The transactions costs is fixed for every transaction, regardless of amount transacted. In addition, the investor is charged a fixed fraction oftotal wealth as management fee. The investor's objective is to maximize the expectedutility of consumption over a given horizon.The problem faced by the investor is formulated in a stochastic discrete-continuous-time control problem. An optimal transaction interval for the inverstor is derived.

scholarly journals Constrained Dynamic Mean-Variance Portfolio Selection in Continuous-Time

Algorithms ◽  
2021 ◽  
Vol 14 (8) ◽  
pp. 252
Author(s):  
Weiping Wu ◽  
Lifen Wu ◽  
Ruobing Xue ◽  
Shan Pang
Keyword(s):  
Portfolio Selection ◽  
Continuous Time ◽  
Value Function ◽  
Optimal Solution ◽  
Selection Problem ◽  
Portfolio Selection Problem ◽  
Cone Constraints ◽  
Lq Optimal Control ◽  
Mean Variance Portfolio ◽  
Portfolio Policy

This paper revisits the dynamic MV portfolio selection problem with cone constraints in continuous-time. We first reformulate our constrained MV portfolio selection model into a special constrained LQ optimal control model and develop the optimal portfolio policy of our model. In addition, we provide an alternative method to resolve this dynamic MV portfolio selection problem with cone constraints. More specifically, instead of solving the correspondent HJB equation directly, we develop the optimal solution for this problem by using the special properties of value function induced from its model structure, such as the monotonicity and convexity of value function. Finally, we provide an example to illustrate how to use our solution in real application. The illustrative example demonstrates that our dynamic MV portfolio policy dominates the static MV portfolio policy.

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