Optimal Portfolio Strategies under Various Risk Measures

Date

2015-08-20

Author

Meral, Alev
Uğur, Ömür

Metadata

Show full item record

Item Usage Stats

143
views

0
downloads

In this research, we search for optimal portfolio strategies in the presence of various risk measures that are common in financial applications. Particularly, we deal with the static optimization problem with respect to Value at Risk, Expected Loss and Expected Utility Loss measures. To do so, under the Black-Scholes model for the financial market, Martingale method is applied to give closed-form solutions for the optimal terminal wealths, then via representation problem the optimal portfolio strategies are achieved. We compare the performances of these measures on the terminal wealths and optimal strategies of such constrained investors. Finally, we present some numerical results to compare them in several respects to give light to further studies.

URI

https://hdl.handle.net/11511/72522
http://icpam.yyu.edu.tr/ICPAM15/Participants/ICPAM_2015_submission_147.pdf

Conference Name

International Conference on Pure and Applied Mathematics, (2015)

Collections

Graduate School of Applied Mathematics, Conference / Seminar

Suggestions

OpenMETU
Core

Optimal portfolio strategies under various risk measures Meral, Alev; Uğur, Ömür; Department of Financial Mathematics (2013) In this thesis, we search for optimal portfolio strategies in the presence of various risk measure that are common in financial applications. Particularly, we deal with the static optimization problem with respect to Value at Risk, Expected Loss and Expected Utility Loss measures. To do so, under the Black-Scholes model for the financial market, Martingale method is applied to give closed-form solutions for the optimal terminal wealths, then via representation problem the optimal portfolio strategies are ac...
Stability advances in robust portfolio optimization under parallelepiped uncertainty Kara, Guray; Ozmen, Ayse; Weber, Gerhard Wilhelm (2019-03-01) In financial markets with high uncertainties, the trade-off between maximizing expected return and minimizing the risk is one of the main challenges in modeling and decision making. Since investors mostly shape their invested amounts towards certain assets and their risk aversion level according to their returns, scientists and practitioners have done studies on that subject since the beginning of the stock markets' establishment. In this study, we model a Robust Optimization problem based on data. We found...
Robust conditional value–at–risk under parallelpipe uncertainty: an application to portfolio optimization Kara, Güray; Weber, Gerhard Wilhelm; Department of Financial Mathematics (2016) In markets with high uncertainties, the trade–off between maximizing expected return and minimizing the risk is one of the main challenges in modeling and decision making. Since investors mostly shape their invested amounts towards certain assets and their risk version level according to their returns; scientists and practitioners has done studies on this subject since the beginning of the stock markets’ establishment. Developments and inventions in the mathematical optimization provide a wide range of solu...
Optimal market making models in high-frequency trading Aydoğan, Burcu; Uğur, Ömür; Aksoy, Ümit; Department of Financial Mathematics (2021-4-08) In this thesis, we aim to develop optimal trading strategies in a limit order book for high-frequency trading by stochastic control theory. First, we address for evolving optimal prices where the underlying asset follows the Heston stochastic volatility model including jump components to explore the effect of the arrival of the orders. The goal of the market maker is to maximize her expected return while controlling the inventories where the remaining is charged with a liquidation cost. Two types of ...
Modelling and implementation of local volatility surfaces Animoku, Abdulwahab; Yolcu Okur, Yeliz; Uğur, Ömür; Department of Financial Mathematics (2014) In this thesis, Dupire local volatility model is studied in details as a means of modeling the volatility structure of a financial asset. In this respect, several forms of local volatility equations have been derived: Dupire's local volatility, local volatility as conditional expectation, and local volatility as a function of implied volatility. We have proven the main results of local volatility model discussed in the literature in details. In addition, we have also proven the local volatility model under ...

Citation Formats

A. Meral and Ö. Uğur, “Optimal Portfolio Strategies under Various Risk Measures,” presented at the International Conference on Pure and Applied Mathematics, (2015), 2015, Accessed: 00, 2021. [Online]. Available: https://hdl.handle.net/11511/72522.