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Solving optimal investment problems with structured products under CVaR constraints
Date
2009-01-01
Author
Korn, Ralf
Zeytun, Serkan
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We consider a simple investment problem where besides stocks and bonds the investor can also include options (or structured products) into the investment portfolio. The aim of the investor is to maximize the expected return under a conditional value-at-risk (CVaR) constraint. Due to possible intermediate payments, we have to deal with a re-investment problem which turns the original one-period problem into a multi-period one. For solving this problem, an iterative scheme based on linear optimization is developed.
Subject Keywords
Management Science and Operations Research
,
Control and Optimization
,
Applied Mathematics
URI
https://hdl.handle.net/11511/64550
Journal
OPTIMIZATION
DOI
https://doi.org/10.1080/02331930902741739
Collections
Graduate School of Applied Mathematics, Article
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R. Korn and S. Zeytun, “Solving optimal investment problems with structured products under CVaR constraints,”
OPTIMIZATION
, pp. 291–304, 2009, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/64550.