Optimal Portfolio Strategies under Various Risk Measures

Date

2015-08-20

Author

Meral, Alev
Uğur, Ömür

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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

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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.