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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Citation Formats

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.