Optimal Investment for Worst-Case Crash Scenarios: A Martingale Approach

• 成果类型: Article
• 署名作者: Seifried, Frank Thomas
• 署名单位: University of Kaiserslautern
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.1100.0459
• 发表日期: 2010
• 页码: 559-579
• 关键词: PORTFOLIO OPTIMIZATION; time; consumption; RISK; policies; MARKETS; prices

摘要

We investigate the optimal portfolio problem under the threat of a financial market crash in a multidimensional jump-diffusion framework. We set up a nonprobabilistic crash model and consider an investor that seeks to maximize CRRA utility in the worst possible crash scenario. We recast the problem as a stochastic differential game; with the help of the fundamental notion of indifference strategies, we completely solve the portfolio problem using martingale arguments.